I'm guessing you want to combine shopping with a concert.
You could have a nice afternoon in London, have a browse around Oxford street, lunch somewhere (Covent gardens nice - loads of places to eat, good shops too) and easily get to the concert in time.
Most bands don't come on stage at Wembley until after 8:30, most of them nearer to 9pm.
you could leave Oxford street at 7:30, be at Wembley station at 8pm, walk along, and be in the gig by 8:15.
better than spending 2hrs paying over the top prices for the food on offer inside.