The walker statues are the alien-like statues, based on the games Sanctum and Sanctum 2. You can find them in the Treehouse and Coffee Stain Studios. They are needed for 3 achievements.
Pedestrian - Find the Sanctum 1 Walker Statue.
LOEK Master - Find the Sanctum 2 Walker Statue.
Trying to Bring Forth Sanctum 3? - Sacrifice the 3 Sanctum items. (The two statues are two of them)
The Sanctum 1 statue is in the room with yellow walls on the 2nd floor of the Starter House.