To perform this glitch, simply enter Treasure Trove Cove and head towards Nipper. Stop between the two walls that should be surrounding you. Turn to the wall on your right (occasionally on the left) and do the Talon Trot. Then use the C buttons to make sure you see both sides of the wall. Then, simply walk straight and you should be through the wall.
A cheat code for this exists in the Rare Witch Project and was ported by BkJoe. The code allows them to walk through walls in every area even at the area where the glitch is performed. The cheat code ported by the user was made for this:
8137C1F0 0000 8137C1F4 0000 8137C1F8 0000
This will also give Banjo the ability to bypass the requirements for how much notes he needs to open the Note Door. The other cheat code forces Banjo down and not be able to walk through any wall.