Excerpted from the last page...
"And with a start, Harry awoke. Looking around he noticed that he was still the young boy he had been before the owls from Hogwarts had come to The Dursleys, before the visit from Hagrid, before all of his many, many adventures.
'It was all a dream!', Harry realized. 'A cruel, incredibly detailed dream!'
And as Harry sobbed, knowing he had never had magical powers, had never left The Dursleys, and was subject to their every capricous whim, he began to wonder where his Uncle kept his revolver and cartridges."