Preheat the oven to 220°C/Fan 200°C/Gas mark 7. Put the fish fingers onto a small baking tray and bake for 12-15 minutes, turning halfway, until crisp and golden. Let cool a little then cut in half lengthways.
Meanwhile, mix together the dill, parsley, capers, cornichons anchovy and lemon juice in a small bowl, then season to taste. In a separate small bowl, combine the yogurt and horseradish.
Toast the bread roll and spread the horseradish sauce over the bottom half. Top with the fish fingers, spoon over the herb mixture, then top with the remaining bun half and serve with the salad leaves on the side.