Wal-Mart, in my rather outdated experience, never stocks import CDs and in any event has only the most limited, popular selectoin of music possible. Wal-Mart is probably carrying the current album and might have a copy of Best Of, but that's about it.
Fewer and fewer music shops of any kind, even in major metropolitan areas, carry domestic CD singles any more. I hit one independent shop and three of the chians nearest to me looking for the Krafty and Jetstream singles a week or two after each came out and couldn't find either. No point in going to a shop that doesn't sell what you're after, eh?
On top of all that, buying on-line is actually cheaper anyway, even considering shipping, since the on-line retailers often deal in such great bulk (and anyway have so much competition) that they discount steeply. Even better, you can always find a used copy on-line for significant savings. And there's no sales tax, either. Buying on-line makes a lot more sense economically and for convenience. Brick-and-mortar shops are fine for impulse buys, but unless you're into whatever happens to be in the top-40 at the moment or you have some damn good independent shops in your area, you're better off on-line.