that isn't what i he wants... you can't display text and then change the headers.
on your 'thanks' page, put a meta refresh in the <head>. i don't remember the exact syntax... something like
<meta http-equiv='refresh' content='5;http://www.absolute.url/here'>
the '5' is the delay before going to the new page.
make sure you put it in the <head></head> area