[x] Give him a sandwhich and invite him into your room.
-->[x] Pretend to be a Bond Villain caught in the act just like in one of those movies Daddy likes to watch.
Look, we could tell him the truth. We could put our confidence in Harry.
But that wouldn't be funny.
So pretend to be a Bond Villain and explain that, since Harry managed to see past our clever disguise, there's no point in maintaining the charade around him. And then make up a bunch of bullshit. If we have a stuffed animal we can put it in our lap and pet it for extra realism.
This being Dudley, of course, means that the execution will be somewhat wanting.