goto 'checkout settings' and the last option is 'Alternate checkout completion page:'
Set that to what page you want it to goto.

In your case you could set it to 'user/me/files' or 'user/me' using the 'me alias' module. Though I've been having some trouble with the module.

Better option might be to create a page that explains where they can find their downloads and set the Alternate checkout page to it. Include a direct link to their download page. This is assuming they are logged in, and not checking out as anonymous.

Which is on their 'my account' page and give a link to it. Using some php code to set a url href to