And for some proper directions other than following one or two others who don't know where to go, here's fail-safe guide

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Whichever exit you come out of the railway station, look for the Civic Centre clock tower, and head up the hill towards that. Once you get there, Civic Centre Rd runs to the right, alongside it as you walk. Follow this road into New Road, and then keep on until it flows into Northam Road. After a 20 minute walk, since your exit from the station, you'll see Britannia Road on the right. Follow that. Certainly by now you won't be able to miss St Mary's stadium. According to Google Maps, the whole journey is 25 minutes on foot.
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