How does a user return to my site after making a paypal subscription payment?

Hi, I'm using the PayPal Express Gateway within the membership plugin. The issue I'm facing is that when a user clicks "Subscribe" to make their payment, they are taken to paypal (not in a new window) and once they make payment, they're just left sitting there on the paypal site with no way back to my site. What am I missing? They should be redirected back to the site - preferably to a URL of my choosing.

On a related note, does the 2CO gateway get around this? If yes, how?

Thank you.