Advice on deploying 'splash screen' apps

[Ben Rubinstein]

I've done a few little splash screen apps with very limited deployment (eg 1-3 
users); and some completely self-contained apps with wider deployment.

Now I'd like to make one of my more widely deployed apps into a splash-screen 
based app, so that it can update itself over the net.

Where I've done this on the very custom apps, I've been happy to have the 
standalone live in a folder with a 'service' folder, in which it keeps the 
elements updated over the net, user prefs stack, etc.  However, the app I want 
to revise is currently used (on both Mac and Windows) as just a single file 
(actually in the case of the Mac, a package, but to the users it's a single 
file), storing preferences in an XML file in the nominated preferences area, 
and I'd like ideally to keep it that way.

So my question then is where should I keep the updatable elements of the 
application?

On the Mac, the two options I would guess are:
  - inside the standalone app's package;
  - in a folder called something like 'com.cogapp.myapp' in either 
"/Library/Application Support" or "~/Library/Application Support".

Could anyone comment on the pros and cons of these two approaches?

On Windows... I'm a stranger around those parts.  Obviously the package 
situation doesn't exist.  Is there an equivalent location to the "Application 
Support" trees?  Or is it more normal to have your app in a folder with its 
support files?

I'd be very grateful for comments, experience, tips, etc.

Cheers,

Ben