First create your ShareProgress page, then paste that URL in your "Thank You Page Options in Convio.
After you create a page on ShareProgress, you will receive a url for your newly-created share page. Highlight this url and copy it on to your clipboard.
With that URL copied, go to step 8 of the Action Alert (Thank You Page Options). Enter in the URL under the "Redirect to URL":
Don't forget to save your changes!