Most of the WordPress Plugins are able to be updated from admin panel.
You go to Admin Panel > Plugins > Installed Plugins >
and if you have an outdated(old plugin) that has a new version, you can click Update to download the new plugin.
How to add this to my plugin? Is this made with the:
Plugin URI: http://mysite.com/wp/plugin
If yes, than how to set up that folder? Should i name every new version in zip files in that folder? Or how to tell the version of plugin to wordpress?
If my guess is right that you think you add your site URL inside the plugin’s head and it will magically update everyones plugin, then I have to tell you that wont work.
You have choices:
GitHub Plugin URI: githubusername/githubreponame
and it will work. (It updates itself from the master branch when the plugin version in the header changes I think)If your plugin should be free as in no money and open source and does nothing immoral according to wp.org staff then I would pick 1. for best exposure.