You may need to apply for an Airport Transit Schengen Visa if you have a flight connection in a Schengen member state on your way to the UK. This is in addition to your UK visa, and if you require this type of visa you will be unable to board your flight without it.
Further information about which nationalities this applies to, as well as how to apply for the Airport Transit Schengen Visa, can be found on the Schengen Visa information website.
Please note that the individual Schengen countries have added extra countries to the list of those who need an Airport Transit Visa when travelling through their airports, so it's important to check both the general list and the extra list of the country you will be travelling through.
Before you begin your journey to the UK read through the UKCISA guide to arriving in the UK; it has useful information on immigration, UK public transport, what money to bring with you and how you can call home once you arrive.