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Usually you have a stub program which connects to a website / server and checks the version number. If it finds there's a new version, then it downloads it. If not, then it runs the actual game.
When you download the new version, you usually only downlaod the actual game.exe file, and overwrite the current version. Then, once the download is complete, and you have the new exe file, you just run it.

It's also possible to download data files like this, or even parts of data files, depending on how your files are structured. For instance, if you have all of you game media in one data.pak file, and you release a new sound effect, it makes sense to just let the patcher program know that it just needs to add this new sound to the data.pak file.

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