Trying to make a dynamically loaded java program

This might be just too crazy to accomplish but this is what I'm trying to do:

I want an very basic java program that upon running will download another java program from a certain server and run that. I'm terrible with these kind of dynamic things but is there a way to download it and run it from inside the original program?

This is something I wanted to implement to prevent the need for issuing updates, assuming the computer must be connected to the internet in order to run the app, otherwise they can't.

Java does support this, and you can write this sort of thing yourself, but JNLP (aka Java WebStart), already does this, and it might require far less work on your part than rolling your own solution.