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I've decided to add auto-update functionality to one of my applications and was looking for any existing solutions that compare the current running version with the latest version that is then downloaded from the web.
I know Sparkle on Mac OSX which is very nice and powerful, but was wondering whether there is something similar for Win32/MFC?
I assume you already know about ClickOnce? I wasn't sure it was compatible with MFC, but then I found this article, so if that's the question you're asking, ClickOnce would be something to try.
In general no, windows maps things like DLLs (either your own or MFC) in such a way that you can't replace a running program. The msi installer checks the VERSIONINFO and doesn't overwrite installed files that have the same (or newer version) but you would have to quit the runnign instance.