I agree with Tessy's thoughts on how respect is established, but clearly it isn't your first time working with your horse so you need to know exactly how you can work on gaining the respect even after working for months or however long you've had him. I'd start with ground work. Lunging him around the ring until he tires, and then wait for him to go to you when you pick up the leadrope. This way you can help him learn that the leadrope is good, and will bring him where he wants to be. Do this exercise for at least a week, not worrying about the whole walking portion. The next week I'd say do this exercise, and then when he comes towards you, pretend to clip the rope to his halter, and then walk. See if he follows you. Do this for a few days, and then when you think he's ready, and he follows you, clip the rope onto him and keep it loose. By doing this he won't feel so tense. He'll trust you more. This should help at least a little in bonding and ground work if it doesn't click into his mind to respect you while walking.
I think respect is crucial because, and I don't agree with Mark respect is the key for trust! It opens the door for trust and building a safe, mutually enjoyable partnership between you and your horse. As Clinton Anderson said, a person I admire : "Respect must be established from the very first day you work with your horse. He should be respectful of you, and you should be respectful of him. It’s a two-way street. Respect is the foundation of control; without it, you won’t be able to control your horse and he won’t be any fun to be around. Unfortunately, respect is nontransferable. That means you could buy a well-trained horse, but if you don’t establish a respectful partnership with him, he won’t stay well-trained for long. Just because I have earned a horse’s respect doesn’t mean I can hand him over to you and he will respect you the same way. Each person is responsible for gaining each horse’s respect.”