janjonas, in the company I work we had a similar problem with Windows Mobile 6.x, and we use pretty much the same solution pointed by EboMike:
The main app check if it's updated, against a WebService. It receives the current version & the URL from where download the new version, if necessary. The main app then start the Updater app, passing the URL, and quit.
The Updater do the download of the new program, via HTTP, showing to the user the % downloaded. The user can cancel the download anytime, in a controlled way, and the Updater can registry this cancellation.
Since the new app is downloaded, the Updater run the new app, and quit.
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