There's no callback for when a player walks. You'd have to make a script that checks the players position constantly, and if their XY position has changed they've walked, or rather moved. This method isn't perfect, someone who jumped off a building still has XY velocity and would be considered "walking" even though they're not actually walking, they're falling. If you tell us what you're trying to do, we can probably suggest a better way to do it.
Also; just a side note: you don't "do" a script. You make a script.