What is "wall riding"?

Wall riding is when you take advantage of non-realistic physics in driving games and rub up against walls when cornering and passing.

As an extreme example, in some of the older Gran Turismo games you could do the endurance races on the high speed (nearly circular) track by using a very fast car and pinning it to the outside wall. You could literally use rubber bands on the controller to hold the car to the wall and let the game play itself.

More modern racing games have become more realistic, and this technique no longer works as well (or at all).

If what you heard was in relation to TrackMania, the term means something completely different. In TrackMania, cars can literally ride on their sides on walls if they have sufficient speed/momentum. Special track parts (called blocks in TrackMania) can allow cars to ride vertical walls that can even loop overhead.