I just run my first two WPF applications - and as it happens they were delivered rather sweetly, with no fuss, no questioning dialogues, straight into the window of Internet Explorer via the Internet.
The applications in question were WPF Clock and Web Paint Factory. Both are examples of a "XAML Browser Application", formally known as "Web Browser Applications". The experience as an end user was great which lead me to find out a little more. Thankfully there is rather a nice overview article I would recommend you take a look at http://msdn.microsoft.com/windowsvista/default.aspx?pull=/library/en-us/dnlong/html/wpfandwbas.asp.
Next up - to compile some myself :-)