How do the trains work in this country?

Ok so i need to get a train from Worcester to Hinckley in Leicestershire, do i need to buy the tickety online to Birmingham then to Hinckley or do i buy it on the train and just ask for a return to Hinckley and the change at Birmingham is already covered?? Its so confusing. The train goes from Worcester to Birmingham and then i have to change and get on another train to Hinckley.

If the train goes through/changes at Birmingham then just get the Hinckley ticket and they'll be fine with it, they'll know the lines and that's how it works

You buy a ticket from where you depart to your destination.

So for example, if I wanted to go to Alton Towers i'd get the train from Grimsby Town to Uttoxeter, I would have to change at Doncaster and Derby. I would only purchase 1 ticket from Grimsby to Uttoxeter.

So in your case, buy a single/return from Worcester to Hinckley

yeah. on the ticket it says 'any route permitted'

but you have to get off at the stop you want, or you won't be allowed off. So you can't get on at nottingham, pay for loughborough, but get off at st pancreas.