A lot of the signposts point the wrong way though, helpfully.
Easiest route is this:
Come out of the station, fight your way across St George's Square (they're renovating it so follow the pedestrian route the signs specify) and turn right when you're on the main road - you'll see McDonalds on your left a bit further up.
Keep going, this road becomes pedestrianised. There is a road which crosses the pedestrianised section, turn left at this point and you're heading towards the Piaza and the market. There are some steps down near the far entrance to the market. Go down the stairs, cross the ring road (Queensgate) at the traffic lights and you're there.
There are variations and shortcuts including a diversion through the Packhorse Shopping Centre, but this is probably the easier way to describe.