We do that. Under a Windows network, the exe file can't be replaced unless all instances of it are closed.
Depending on the number of users you have, this can amount to walking
over to a co-worker's computer and clicking the exit button (our
original situation), to wandering all around the 80+ potential users,
looking for open exe's and hoping no one has their desktop locked (our
current situation).
Perhaps a better system is to write a small program that, when run from
the network shortcut, copies the executable (and necessary support
files) to a well-defined space on the user's computer, then runs it
from there. If you're feeling tricky, you can even make the users
think it's all the same program.
Of course, this is just a special case of building an installer for
your program. More complex installers might even check for the
run time engine, and install it if it's missing.
Joe Z.