It is pretty standard practice now for desktop applications to be self-updating. On the Mac, every non-Apple program that uses Sparkle in my book is an instant win. For Wind
I think your best option is an update checking mechanism that will alert the administrator when there are update(s).
As you mention, there are a number of potential security problems. Due to those alone, I would suggest not doing this. Instead, try creating a fairly smart upgrading script.