you can achieve this behaviour by using Reset password web part. Just follow these steps:
- Create a new page used for reset password in Pages application.
- Place a Reset password web part on that page.
- Edit the web part properties (in Design tab) and set "Redirect url" to the URL you want to redirect the user to.
- Go to Settings application and modify the setting "Reset password page URL" to the page you placed the Reset password web part, e.g. ~/Reset-password. The mentioned setting you can find in Security & Membership -> Passwords section.
Now if you request the forgotten password you will receive an email containing the reset password link pointing to the page you placed the web part on. When you type a new password and click on Reset password button you will be immediately redirected to the URL specified in the web part.
Hope it will help.