Currently, every time I add a hyperlink to my form in InfoPath 2010 they open in a new window. I publish these forms to a SharePoint 2010 site and have the form set to open in the browser. Can you change the hyperlink to open in the same window?
If you just want to send people away because the form is locked, you can use Close Form action. (in your URL, specify a Source parameter - this is where InfoPath form users will be redirected to after the Close form action.
I personally think it's probably better for the health of the form server if your users click Close. It
probably magically lets Form Server know that the session is done and can be reclaimed.