The action page is the page that the form submits to. That page is the page that processes the form, since it is the page that gets the results of the user input and usually records information in the database and/or sends an email.
You can use the Go To page in the email server behavior to redirect to the thank you page... Just double click on the email server behavior on the action page and you can set it to go to the thank you page once the email is sent.