The best option is by using the new Elizabeth Line train. Bond Street station is just off Oxford Street. See this map.
Alternative options include Heathrow Express directly to Paddington though this is some distance from where you may be going. The Underground Piccadilly line tube train runs all the way through London with options to change to other lines. It is charged on a zone basis. See this tube map.
It is about a 20 minute drive using Uber or similar. Alternatively the 703 bus departs from T5 to Windsor with the Theatre Royal bus stop being just outside Windsor Castle. For more information see the 703 bus timetable here.
Terminal 2: M&S as you exit immigration. Opens 06:00.
Terminal 3: M&S on your left as you exit customs. Opens 05:30.
Terminal 4: Pret a Manger in arrivals, opens 05:00. Or WH Smith.
Terminal 5: M&S in arrivals (to the right as you exit immigration). Open 24H.
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