That looks like a Sprague part number (but I wasn't able to find that specific number -- needs some letters in front)
But, assuming it is, or that it's another manufacturer's part number where the '394' represents the capacitance, and assuming they used the same technique that is used to color code resistors, another way of looking at it is this:
The 4 in 394 is what is called the "multiplier" and represents the power of 10 to _multiply_ the '39' part by, so it's 39pf times 10 to the 4th power or 39 x 100000 = 390000pf. Notice that there are 4 zeros in 390000 -- this is consistent across all multiplier values in use, so 223 = '22' with 3 zeros after it, or: 22000pf. 470 is 47 with no zeros after it or 47pf. Now, the crazy thing here is, some manufacturers will label a 330pf cap as 330 and some will label it 331!
In that case the only recourse is to either know the manufacturer (not always easy because sometimes there is no labeling that divulges the manufacturer) or use a capacitance meter to verify the value (can be difficult in the cap is in circuit).
And Colin is right, a 3.9uF would be a large capacitor, if not electrolytic (unless you are calling tantalum non-electrolytic)
BTW: '39' is one of the "standard" values for ±10% capacitors, so that is another clue that the '394' number represents a capacitance value (it's not absolute, 'cuz it might be a coincidence).
Standard Capacitor Values (±10%)
10pF 100pF 1000pF .010mF .10mF 1.0mF 10mF
12pF 120pF 1200pF .012mF .12mF 1.2mF
15pF 150pF 1500pF .015mF .15mF 1.5mF
18pF 180pF 1800pF .018mF .18mF 1.8mF
22pF 220pF 2200pF .022mF .22mF 2.2mF 22mF
27pF 270pF 2700pF .027mF .27mF 2.7mF
33pF 330pF 3300pF .033mF .33mF 3.3mF 33mF
39pF 390pF 3900pF .039mF .39mF 3.9mF
47pF 470pF 4700pF .047mF .47mF 4.7mF 47uF
56pF 560pF 5600pF .056mF .56mF 5.6mF
68pF 680pF 6800pF .068mF .68mF 6.8mF
82pF 820pF 8200pF .082mF .82mF 8.2mF
