Years ago I wrote a simple tool which is started instead of the real program, checks for updates, loads and installs them (if any are available), and finally starts the real application.
There are however problems with that approach if your program works in a properly administered environment, where users normally don't have write access to the program directories. You can no longer simply update your own program in such environments. That's why a lot of programs these days come with their own updater tool, which can be installed to run with elevated permissions, so that program updates can be applied even though only standard users do ever log on to the system.
You have to decide whether your target audience can be assumed to run on power user or administrator accounts, or whether you will have to deal with above-mentioned problems. With Vista things got considerably harder already.
With all these problems (net access over proxies, missing write permissions for installation directories, the need to update files that the updater itself is using - just to name a few) I wouldn't try again to code this on my own. Much better to check if any one of the available solutions does all you need it to.
