Swindon got off to a bad start when after only four minutes Rhys Evans gave away a corner. Sheffield Wednesday scored from the corner when Lee Bullen headed in Jon-Paul McGovern's cross.
Swindon 3 Sheffield Wednesday 2
Brian Howard nearly gave away a second goal, when a poor back pass didn't have time to reach Rhys Evans, and instead fell to Proudlock, but Evans made up for his earlier mistake, and saved the ball when Proudlock really should have scored.
Swindon had a few chances in the first half, including a free kick, but it was cleared away.
In the second half Igoe should have scored for Swindon, but he took too much time he taking his shot, so the Sheffield Wednesday defence had time to come back.
Sheffield Wednesday hit the bar, but on 63 minutes they scored a second with a close range shot by McLean.
It looked like it was going to be one of those nights for Swindon, who hadn't been playing that well, and were not creating many chances, but it all changed in the final 12 minutes.
Andy King bought on two subs - Rory Fallon replaced David Duke to make it 3 up front, and Matt Heywood replaced Andy Nicholas, but unlike the Tuesday night this time it worked very well.
On 78 minutes a Roberts pass found Sam Parkin, then the ball found it's way to Howard who lobbed the 'keeper from 20 yards out to make it 2-1.
Then on 86 minutes Sam Parkin broke his goal drought with a close range shot to make it 2-2, and put Swindon back in the game.
Most fans would have settled for a second 2-2 draw in a week, but not Rory Fallon who on 88 minutes made it 3-2 to Swindon when Fallon headed in a close range shot.
Swindon held on for the win, something that you would not have expected 15 minutes earlier when Swindon looked to be heading for another defeat. Last season Swindon were losing 3-0, and bought it back to 3-2, but this year Swindon went for losing 2-0, to win 3-2!
The win moves Swindon up to 7th in the table ahead of this Saturday's home game with newly promoted Torquay United.