Hi Claire,
The same thing happened to me and they tried all the tricks to make me think I couldn't get the deposit back - I was raging with the whole situation. They were determined that it was transferred to another car. In my case I'd paid £1000 and the car had been taken off the lot, cleaned and sprayed with protective covering etc so they weren't happy when I pulled out and said the £1000 was lost for costs incurred.
The letter of the law is quite clear in that if there is a finance agreement, there are three parties involved, you, the dealer and the finance company. All three can pull out without penalty. Did you sign anything? How long was it between laying down the deposit and realising you didn't want to proceed? The only sticky parts would be if you signed something that referred to the deposit being non-refundable. If you signed something regarding the finance, you would normally have a cooling period where you could terminate anyway.
I called the Citizens Advice Bureau to explain my exact circumstances - you should do this too, it's quite therapeutic - then I phoned the dealer telling them that I knew my consumer rights and wanted my money back immediately. I don't think it matters that they have ordered the car, that's their risk. After CAB have told you the position relative to your exact circumstances, phone the garage and explain that you've looked into your legal position and want your money back (assuming CAB confirms this).
I got my £1000 back, I hope you are successful - don't let them bully you, they will know fine well what your rights are.
Good Luck