If I go to Help | Check for Updates, and there is an update to install, a dialog appears, downloads the update, and then a SQL Toolbelt wizard starts.
The initial dialog that performs the download is modal and is part of the application that launched it.
It is not clear that the second and subsequent dialogs are a different application, as the launching application is still sitting happily in the background.
The issue comes when you get to the point in setup where you need to close the launching application. This is kind of counter-intuitive to me, since half of the steps you are performing do not even allow you to close the application.
Couldn't the download dialog in some way prompt you to save your work or whatever, or prompt you to close the application first, or simply tell you that if you click "Download & Install" that the application will be closed for you, so you don't have to figure out on your own that you *can* and *need to* close the launching app at some certain point during installation?