You will likely need the page ID of the “Thanks” page then use the exclude=<page-ID> parameter for your menu. In this case I would suspect your menu is being generated by wp_list_pages, or wp_page_menu.
See these pages for more details, if need be:
http://codex.ww.wp.xz.cn/Template_Tags/wp_list_pages
http://codex.ww.wp.xz.cn/Template_Tags/wp_page_menu
This is also most likely theme dependent as well …
<edit>Glad you found a solution while I was writing this post ;-)</edit>
