While playing, walk up to any wall. Turn away from the wall, then hold A and press away from the wall. (i.e., if the wall is on your right, face left, hold A and press Left.) The instant Conrad starts to run, release A and face toward the wall. He should be able to walk through it. Note that this appears to be a bug, as if you walk through a wall with nothing behind it you'll die or crash the game.