Alpha Lima Xray, rail links aren't too great from LHR to Windsor, none that go direct anyway.
It may not be the cheapest method but a taxi would be the quickest and easiest way of doing it, you are probably looking at £40 return. One thing to note, there is a big problem with taxi touts at Heathrow, driving with no license and no insurance, they normally wait at the arrivals hall and offer very low prices. If you take a cab make sure it is the normal London black cab.