Windows Update uses an ActiveX control. Flash, Shockwave, etc. are all ActiveX controls. Unless the control is already installed on the users machine, they are prompted to download and install it first. You can create your own ActiveX control, but the user must grant permission for it to be installed, assuming the browser supports ActiveX.
Personally I wouldnt install a control from an unknown company, and I would advise against using this approach unless it is the only way to achieve your goal. A Java applet is much less intrusive as it does not require installation.
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