You go into your PayPal Profile
In your pay pal account Choose Website Payment Preferences
Auto Return needs to be on
url for this should be either:
https://www.yoursitename/store/catalog/checkout_process.phpor
http://www.yoursitename/store/catalog/checkout_process.phpdepending if you're using an SSL certificate - if so use the first one.
What will happen is this, when your customers pay via paypal from your store, once their payment is completed, they are automatically returned from paypal back to your store to their checkout and voila the order is completed!
The reason PayPal doesn't instruct this (in my opinion) is that logically most customers will hit the "continue" button on PayPal which brings them to PayPal's solicitations.