sure... you could do it that way... at least i think you could... i've never tried it...
but then your app assumes the responsibility of downloading it , putting it in the right place, and then running the install... unless there is no install and you are just updating assets...
plenty of room for error and system intervention here...
i think it would be simpler, and the user would be more comfortable being told to go to the place where he/she could get it, and let them download and run the install...
but it's up to you...
--Mike