Even if wyUpdate was C++ based it would still use many many Windows APIs. That is, the algorithms we use aren't generic algortihms and APIs that can be ported from Windows to Linux (or Mac) easily.
For Mac OS X we recommend Sparkle.
For Linux you have a couple options. You can use wyUpdate with Mono & Wine (we don't recommend that because we do absolutely no testing on Linux). Or you can integrate with the system specific open source updates (like apt). Or you can forgo updating on Linux and just require Linux users to re-download your app to get the latest version.