As a royal prince, Harry doesn't technically have a surname. Windsor is the name of the Royal House of the UK and the other Commonwealth Realms (although it's not a surname, and it's a "fake" name in any case, as it was changed from Saxe-Coburg-Gotha during WWI b/c it sounded too German), and his patrilineal "house" of descent is Schleswig-Holstein-Sonderburg-Glucksburg. It is the practice for royal princes and princesses in the UK who don't have their own noble title to use "of X" (X=whatever their father's territorial designation is), and since Prince Harry doesn't yet have his own noble title (as Prince William does), he is officially styled "HRH Prince Henry of Wales" since his father is the Prince of Wales. In his military role, for the sake of efficiency, he uses "Wales" as a surname even though it's not his actual surname (because he doesn't have one).
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