Lee, for future reference, it is also possible to get good rates to Market Harbourough using SWT▸ (so a slightly quicker journey) for around ^22.65 in total by buy a complete through ticket from Cosham (route +AP EMT» & CONNECT). The Advance rates include a compulsory reservation from London to Market Harborough, but are unreserved on the way to London. This means you can use any valid service (and booking websites are quoting SWT to Waterloo).
Cheers Brucey - I will indeed bear that in mind