One ofthe reasons you get the vortex is that the low-pressure air above the wing tends to flow towards the fuselage, and the high-pressue air moves away from the fuselage (in both cases, high pressure region flows towards low pressure). At the trailing edge, tehrefore, there is a spanwise component to the flow, which is in opposite directions. This generates a vortex which runs down the trailing edge and spills off the wing tip. The winglets that many modern aircraft have sprouted are designed to unwind the vortex to some extent, hence reducing the induced drag.
TheRaptor, The wing that Greg is talking about is an annular ring, with a normal arerofoil cross-section wrapped round - sort of like bending both wings so far that the tips touch tangentally above the fuselage.
Don't know quite how the aero works on this, but apparently a paper aeroplane made in this style is very effective, sugesting that it is not traditional cambered-wing aerodynamics that is at work.