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Harry's uncle, aunt, and cousin return home loudly – Uncle Vernon demands that Harry come down for a serious discussion.
Vernon announces that he's changed his mind – the Dursleys have been deciding whether or not to leave home. They've been warned by the Order of the Phoenix that it's not safe to stay there, but Uncle Vernon has decided that it's all a sinister wizarding plot to get a hold of their precious house.
Harry freaks out – he can't believe how pigheaded his uncle is being.
Kingsley Shacklebolt and Mr. Weasley have already explained the whole Voldemort situation to the Dursleys; apparently, once Harry turns seventeen (the age of adulthood in the wizarding world), the magic spell that kept him safe on Privet Drive will break, which means that the Dursleys will also be in danger.
Uncle Vernon, in a moment of hope, asks if the Ministry of Magic can keep them safe – fat chance! The Ministry has been infiltrated by the Death Eaters.
Uncle Vernon grudgingly agrees to accept the Order's offer of protection, but grumbles about not getting Kingsley as their bodyguard – turns out, he's busy taking care of the Prime Minister. Fine.
Harry freaks out again, telling the Dursleys that they've got to open their eyes; all of the bad things that have been happening in the world are being caused by Death Eaters. Finally, he tells them the dreadful truth: the Death Eaters will murder the Dursleys like Voldemort killed his parents if they don't get out.
Dudley is scared into submission, and that decides the whole thing. They're going.
Dedalus Diggle and Hestia Jones, the Order representatives sent to take care of the Dursleys, show up at the door. Harry is instructed to wait for Mad-Eye Moody, who will take care of his transport.
The Dursleys say their good-byes to Harry – Uncle Vernon is ready to leave without any sentimental farewell, but Dudley is confused about why Harry isn't coming.
As they prepare to leave, Dudley finally opens up a little (after all these years!) and thanks Harry for saving his life (see Book 5, Harry Potter and the Order of the Phoenix).
Everyone says good-bye to Harry – even Dudley shakes his hand, and the cousins share a moment that's almost affectionate.
Aunt Petunia is the last to leave. She looks at Harry like she wants to say something, then flees.