If it's just a standard PHP form, then the action field of the form attribute will be telling the form which file to process when the form is submitted.

Within the PHP code for the form, after the mail has been sent, you'll want to add the following line of code:

<?php header('Location: http://www.thankyou.page/'); ?>

This should work, but it depends on how your form is written. If you paste the code for it here then we could probably provide more accurate instruction. Although, technically this isn't a WordPress question ;)