If you're using ShowDialog() to show the main form (instead of Application.Start() ) or you're not using the AutomaticUpdater on the main form of your app then there will be problems. So if you want to use the AutomaticUpdater then put it on your main form and make sure your main form is started with Application.Start().
If you want to use some custom updating mechanism then you can use the AutomaticUpdaterBackend. However, this is much trickier (you actually have to know what's going on). For instance, you have to use auBackend.Initialize() in the form's constructor and auBackend.AppLoaded() in the OnLoaded event on the form.