Same as "stg" and "GuyWithDogs", I'm using TWebUpdate from TMS. Although the documentation isn't so great, Its not so difficult to learnt.
With TWebUpdate, you have some options what the protocol you use, it could be done via HTTP, FTP or network access.
For communication layer, TWebUpdate uses WinInet. In some machines, the windows / IE URL cache can be frustating, so I've added a routine to clear the auto-update server address from cache first to ensure the information gathered from the server is up-to-date.
