This occurs when you use Response.Redirect inside of a Try / Catch block.
Your code will work and the browser will be redirected but you may wish to prevent the error if you are monitoring and getting lots of alerts.

You can prevent the error by overloading the method and passing false like this:

Response.Redirect ("nextpage.aspx", false);

The reason for this behaviour is interesting and is explained here:
http://www.c6software.com/articles/ThreadAbortException.aspx



Microsoft Article that explains the workaround.
http://support.microsoft.com/kb/312629/EN-US/