Get the tube to Oxford Circus tube. Exit onto Oxford Street at the junction with Regent Street. From this junction, make sure you are on the south side of Oxford Street. Head east. Go past Borders on your right hand side. Keep going until you see a street sign for Berwick Street on the right (not a particularly wide street).
Walk down Berwick Street, looking out for record shops as you go. You will see several (mentioned above). When you get to the fruit and veg market, you will find Sister Ray. If you keep going you will end up in a sex shop, so unless that is your thing, stop here.
Alternatively, get a map or take someone with you!