You may find this recent forum discussion helpful:
http://www.e-junkie.com/bb/topic/3105
Note that a customer may not automatically arrive at the thank-you page after finishing checkout, depending on whether the payment processor used can auto-redirect them or not, and whether the actual payment process is completed by the time they finish checkout or not. The thank-you email gives them a link to reach their thank-you/download page if they did not proceed directly to that page after checkout, or if some glitch with their initial download attempt resulted in a garbled file.