I think I've seen it at a few Asian grocers (try Tooting Market). If you can't find any, "Hot Horseradish" by The English Provender Company is a very satisfactory alternative.
Hi there jaffa cake,
Although this company:~ http://www.horseradishsupplier.co.uk/
only seems to supply to the wholesale trade,they may be able to advise you where to source horeradish.
Also,although your local greengrocer may not stock horseradish,he may know where to source some on request?
Happy Hunting.