Rids - If I understand you, you want to set up adwords ad (that you control) to link to your site that you're advertising...then you want to redirect them somewhere else.
You should be able to provide the url in the ad to the first location.
Then you'd have to code something that redirects them to a different url...
There is no way to do a double end point in http protocol. its a request,response. once a user clicks on your ad - they have requested your URL, your server will send a response page, which gets rendered in the browser...
Your server, OR your response page can perform a redirect - but you have to code that. Unless you're using some CMS (content management system) that will 'code' it for you thru an interface...but it's still 'code'
Hope that helps.