Usually the process is as follows:
- the user starts the applicataion
- the application launches an “updater” (another program)
- the updater retrieves from the Internet if a newer version exists
- if that’s the case, propose the user to update
- the users accepts, the updater downlads the new install package (that can be incremental)
- the updater shuts the application down (or better, asks the user to do it) and launches the new installer.
- the installation package do the rest
Of course you can have many variation, but this is the basic way to do it.
On Windows, at least, some software install an updater deamon that is always on and checks for new updates of the software it takes care (GoogleUpdater, for example).