Slough and Windsor by train

(1) Does your train from Oxford stop at Slough? It may not. You need to look at the national rail site and find the stops for your train.
If not, it probably stops at Reading (a much bigger place), so you can change there and get a "stopping train" which will stop at Slough and change again at Slough for Windsor.
Not sure what good talking to the conductor would do, he can't order extra stops for a train. Your ticket may well include a reserved seat, in which case it is best to sit there.
If your ticket is only valid on that train, and you have to change at Reading, then you need to get a new ticket from Reading via Slough to Windsor. You can buy it at Oxford before you get on the first train, explain your problem and they will sell you a ticket.
If your ticket is valid on any train, then you are legal to Slough.

(2) Slough rhymes with cow and plough. Reading rhymes with heading. They are both in Berkshire, which is pronounced Barksha.
(3) If it doesn't say there are any lockers, then their won't be. Lockers are rare in the UK. Big stations sometimes have manned luggage places, but only very big stations.

You don't have to say anything to the Conductor or Train Manager or Guard (similar jobs, different line on the name badge); they would be very surprised if you do.

Hopping off early is a good plan, just be sure that you are on the actual train named on your Advance ticket, because it is worthless on any other service. If you have snagged a really cheap ticket from Oxford to Paddington it is highly likely that it is an "Advance". They can't be refunded, and if you change it (must be done before you board) there will be be very high charges so it is effectively non refundable.

You do need to be sure that the train you are booked on stops at Slough (cow). If you hop off at Reading (sounds like red-ing) you will need a valid ticket from Reading to WNC.

If the National Rail station information page for the station doesn't mention Left Luggage, there isn't one. Ever since the terrorism of the the troubles there have not been lockers, and that's why all the rubbish bags on stations (only fairly recently reinstated) are clear.

If you have an Advance type ticket to Paddington ,you are not supposed under the terms of this ticket to break your journey en-route or stop short:

"BREAK OF JOURNEY:
Customers may not start, break and resume, or end their journey at any intermediate station except to change to/from connecting trains as shown on the ticket(s)."

Advance tickets from Oxford are cheap because they are competing with the frequent coach service to London.

It's only a five minute train ride from Slough to Windsor.

Thanks, kindly Brits, for news of Slough.
I understand much better now.
You took away my furrowed brow.

Yes, they are advance tickets, so effectively non-refundable.

I've learned that Windsor Castle holds luggage (after screening) for visitors, so that problem is solved. We wanted to leave it somewhere while visiting the castle, and where better than at the castle?

We're getting excited about departing in a few days. Special thanks to Keith, who has provided a little rhyme that will rattle around in my head throughout our time in Barksha, and perhaps much longer. ;-)

Sir John Betjeman supposedly regretted writing that poem and tried to stop it being published in the first place.

Sadly for Sir John, the poem will now rattle around in the RS Travel Forum, electronically preserved for all eternity. Sadly for Slough too, I suppose.

The poem has been rattling around for a long time, since 1937!
The poem has made Slough the stereotype for an ugly, bland light industry town. If you ever saw the TV series "the Office", it was set in Slough because of the stereotype.
The poem is already preserved enough, it has a Wikipedia page, a You tube version: https://www.youtube.com/watch?v=n0gZ6e642Yc
Full poem: http://www.bbc.co.uk/berkshire/bigread/bigread_betjeman.shtml