Just head towards the river, turn right at the Angel On The Bridge) and keep walking until you see the bandstand and you've reach the popular picnicking area that's Mill Meadows.
It's right on the river and it's perfect for families. It boasts 2 children's play areas, one for toddlers and one for older children, as well as the Henley Adventure Golf, a bowling green, and a cafe. There's a small visitor's information kiosk as well as public toilets too which are handy.
In the summer there are small fairground rides and a bouncy castle and you can also rent canoes and paddle boards too. Brass bands will sometimes serenade you from the bandstand too.
The River & Rowing Museum is at the far end of Mill Meadows so be sure to go.