There's no built-in support for automatic check for upgrades with setup projects. I believe InstallShield offers it as a service if you use their tool.
Typically your updates would need to be in a database at your company's web site, by version, ProductCode guid and UpgradeCode guid, accessible with a web service. Your app would call this web service to ask about upgrades - they would have the same UpgradeCode but a higher version and a different ProductCode. If you used a tool that supplied patches, you'd ask for patches with the same ProductCode but a higher version. By version I mean version of the MSI product, not files. Whatever is available you'd download for the client if required.