There are two options to Arrive to Windsor by train.
One is to leave from Waterloo and that will be a direct train to Windsor and will take aprx. 30 min'.
Or from Paddington and then you have to change at Slough. that will take aprx 40 - 45min.
You will notice not so much at Windsor but Slough that there are information screens as well as printed timetables.These give the quickest way to find your connection and the platform you require.
Legoland runs a free bus service to take you out to the park from several bus stops around the top of town.Easily recognisable.
A quick 50 minutes ride by train from London Paddington with a change train at Slough only cost you less than GBP10, plus if you already have a travel card for zone 1 and 2 its get even cheaper.