Appcast feeds
WinSparkle shares its updates checking mechanism with OS X Sparkle. It reads information about available versions from an appcast -- a RSS 2.0 feed with some extensions. See Sparkle documentation on feed format (note that some parts, such as DSA signatures, are not yet applicable to. WinSparkle).
Publishing the appcast
Appcasts are accessed over HTTP, so it's enough to upload its XML file to your web server.