>I want to add the option to my users of downloading a newer version of my program and over writing the current version with the new one but windows won't allow me to copy over a program while it is running.
>The idea is for the program to check for updates, download the update and then copy it over the older version.

We use a slightly different approach. When they click an Update button on our toolbar, we actually run an update EXE that we distribute with our application that checks to see if an update is available, and if so, terminates the application EXE, then downloads the update, copies it over the application EXE, and then informs them that they can re-start the application, then finally terminates the update EXE.