Disclaimer: I work for the company that has created the product I mention.
There are a number of ways to track application usage. One of them is to display a web page on your server as the last step in the installation process or to have a splash screen in your application that hits that web page. With either of these you can use web analytics to give you a rough measurement of the users that have installed or run your application versus the number of downloads.
Another method is to use the Runtime Intelligence product from PreEmptive Solutions, which will inject usage tracking functionality directly into your .NET (or Java) applications. This will give you measurements of how many people are actually running your software as well as system profile information. You can also add in tracking of specific feature usage so that you can see what people are using inside of your applications (including how long they take to perform certain actions). We use Dotfuscator (or DashO for Java) as our code injection engine to insert new instructions into your applications after they have been compiled (similar to how PostSharp's IL Weaving works).
There is a free version of this product that is included with Visual Studio 2010. The Beta 1 is currently available and will be included in future Beta's and the release version of Visual Studio. This will allow you to instrument any .NET application.
I have written a blog article on Correlating Downloads To Usage using the free version in Visual Studio 2010 and there is also a blog article with an overview of all of the functionality included in the free version. I am planning on writing future blog posts detailing adding feature level tracking and measurements to applications as well.
For more features than are available in the free Community Edition you can request a free evaluation of the commercial version from PreEmptive Solutions.
You can also see these other StackOverflow questions:
Analytics for Windows Applications
Observing Or Monitoring Users Working With An Application Remotely
