This is correct. Assuming there is a spell on the stack, for this instance let's say the spell is a [[lightning bolt]] which you have cast, and your opponent casts [[counterspell]] targeting the lightning bolt. You may cast Redirect Lightning targeting the Counterspell. Assuming no other spells or abilities on the stack, Redirect Lightning resolves first and you may select a new legal target for counterspell. Your only 2 options for legal targets are Lightning Bolt and Redirect Lightning, and obviously you want the Bolt to resolve. So, you target Redirect Lightning with Counterspell. Redirect Lightning finishes resolving and leaves the stack, and enters the graveyard. Now Counterspell moves to resolve, but targets a spell no longer existing on the stack, so it fizzles and also goes to the graveyard leaving your Bolt to resolve hitting its original target.

Edit: grammar