Agra is very spread out, walking is really not on even if you could. It's virtually impossible to walk because Agra's hordes of rickshaw-wallahs pursue would be pedestrians with unbelievable energy and persuasive ability. Beware of rickshaw guys who take you from A to B via a few marble shops, jewellery shops and so on. Just great when you want to catch a train. A simple solution to Agra's transport problem is to hire a rickshaw for the day. You can easily negotiate an all in daily rate for which your rickshaw wallah will not only take you everywhere hell wait outside while you sight-see or even have a meal. Agra is so touristy that many of them speak excellent English and like western cabbies are great sources of amusing information like how much they can screw out of fat-cat tourists for a little pedal down to the Taj and back to the air-conditioning. will take you from pretty well anywhere in Agra to anywhere else.
 

If, however, you really don't want to be pedalled around, Agra is sufficiently traffic free to make pedalling yourself an easy proposition. There are plenty of bicycle hire places around.