The WUWStub.exe application is a small Windows executable which performs exactly the same function as the wuw4.dll Dynamic Link Library. In fact, it is linked to wuw4.dll and simply calls wuw4.dll's exported WebUpdate function with your url.
It is up to you to decide which is easier to use from your software - using the wuw4.dll exported functions or launching wuwstub.exe as a process.
The WUWStub.exe application must be installed into the same folder as your application. When your application wants to initiate a Software Update Wizard check for updates, it simply launches WUWStub.exe as a new process using the ShellExecute() API, passing the URL of the server update script as a command line argument, as shown in the following example:
ShellExecute(NULL, "open", "wuwstub.exe", "http://www.myserver.com/updatescript.txt", NULL, SW_HIDE);