Hi-
Typically, if the form is opened from the form library it will indeed return the user to the form library it was opened from.
If you're opening via a data view, for example, where you can manipulate the URL, you could add the &Source= parameter, which tells the browser form where to redirect the user after the form is closed.
Read more here: http://msdn.microsoft.com/en-us/library/ms772417.aspx
Good luck!