how to overide prvatemsg url 'messages' to 'something'?
If what you want is to do a redirect to a thank you page after you handle your form posted data then just add to your function a redirect via a call drupal_goto().

Something like this:

function _MY_MODULE_custom_submit($form, &amp;$form_state) {
  // process your form stuff...
  drupal_goto('thank-you');  // redirect to page 'thank-you' providing this is one of your drupal pages
}