Also, the northern end does *not* go all the way to Merrill. About one mile south of Wausau you see a sign that says "End 39." The part through Wausau up to Merrill is not officially an interstate yet, but still US-51. I'm positive about this...just drove it last week.
When on the phone with a WIDOT official, I found out that I-39 *will* have sinage from Rockford to the portion where it splits off toward Wausau. He also told me that I-39 in Illinois was originally supposed to be I-43 which then would have run along I-90 to Beloit where it would have caught up with the current I-43. That idea was rejected by ILDOT officials.