Sue,
You don't say who the parents are/should be but according to FamilySearch there is a baptism at Stony Stratford for a William:
10 Aug 1806 - parents John Sheppard and Hannah.
But there also appear to be siblings of William, but not a Henry:
James 1798, Mary 1801, Sarah 1802, Elizabeth 1803, Anne/Catharine 1808, John 1813 and Jane 1815.
HTH
Peter