Hi,
Trains to Leicester leave from St. Pancras. If you're coming from Heathrow - you can catch the Heathrow express to Paddington and change to the Circle Line - or take the Tube from Heathrow - all the way to Kings Cross/St. Pancras. Prices vary depending on ticket type and when you travel - find out here:
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Try #mce_temp_url# - for somewhere to stay when you return - and the site I edit #mce_temp_url# can advise you on places to see and visit when there.
Patrick