Your FP notice has an address of USCIS field office and date/time of your fingerprinting appointment. Walk-in FP refers to going to this office at times different (usually earlier) from the time on the notice. Usually FP appointment date is few weeks away from the time you receive it. Many a times, a person can have prior commitment on the day of the appointment. It's possible in some field offices to "walk-in" with the appointment letter and request that they do early finger printing. People exploit this fact even if they don't have prior commitment and USCIS field offices may or maynot allow it depending upon work load on a given day.