If you packaged media in the EXE it creates a huge EXE with all of the media attached. You could do a variety of things to create an auto-update feature for this.
1. You could replace the entire EXE
2. You could write a program that separates the original EXE into its base parts, modifies the EXE, then reassembles the files back into the same format that it was in.
I wouldn't do either of these personally. I'd use the DBP Enhancement pack to put all of my media in file blocks and keep the EXE all by itself. Then all you have to do is apply your patch to the EXE, or replace the EXE totally (easiest). Then the updates wouldn't be insanely huge.