You need to write code (or find some existing code somewhere) according to the protocol used (http or ftp) to download the DLL file to the CAD computer and save it somewhere in the local drive and then "netload" it. Downloading DLL/EXE is usually considered unsafe. So, the DLL file may have to be zipped up first. In this case, you need to Download->Save->Unzip->NETLOAD.
But do you want user to repeatedly download it from a remote http/ftp server whenevr they run AutoCAD? Or, what you actaully want to do is some kind of auto-update (similar to .NET ClickOnce)? In this case, you'd better kick off a separate updater app (or separate thread) that go the the http/ftp location to check available update/new version, and if found, download to temp. local location, and then prompt user in Acad. Once user choose to update, the updater app will update the local DLLs after Acad shut down, and then restart AutoCAD. It sound easier than actually doing it.