http://www.nationalrail.co.uk
The site above will tell you all the train times & fares from any station in Britain to any other. In the FROM box, if you type in Windsor > the 2 stations appear - Central > which you would use to reach Paddington (which is not on the outskirts of London). Using this route, you would go the short hop to Slough (pronounced SLOU) and then change to another train for Paddington. Using this route on a weekday, the cheaper off-peak fares kick in with the 9.42 departure. You can also use this route to reach places further away to the west by getting to the main line at Slough. Bath would be at the top of my list with perhaps Oxford second.
http://www.visitoxfordandoxfordshire.com/default.xmas.aspx
The other departure station from Windsor is Riverside. Using this route into London, you stay on one train all the way to Waterloo. The cheaper fares on this route kick in with the 9.21 departure. In both cases, you are likely to find that on Saturdays, you can use the early trains at the cheaper fare.
If you are going on longer journeys - such as Bath, it is cheaper to pre-book ahead (even the day before), in order to get the cheapest fares. You could do this on-line or actually at any British Rail station. (Use the site above to figure out what you should be paying).
http://visitbath.co.uk
On some of the longer routes, you can get cheaper fares by splitting the tickets at stopping points en-route - even though you stay on the same train. On the run to Bath, Swindon seems to be such a point where split tickets will be cheaper. This site will advise you of split points:> http://www.splityourticket.co.uk
At stations, you will find 2 for 1 booklets with vouchers in the back. When you arrive in London, Bath etc. keep your tickets - DO NOT put them into a gate machine but go to staff & say you wish to retain your used ticket and they will open the barrier gate. Now, with proof of rail travel, use the 2 for 1 vouchers for attractions:> http://www.daysoutguide.co.uk/2for1-london
http://www.windsor.gov.uk