I agree with Sam! You look for causes or origins for the lameness and if there is not a stone stuck in the corner of a shoe or a scrape that might indicate they banged themselves etc you should call a vet. If you work a horse even at the walk on a injury it can make it worse.
I always call the vet especially for a show horse. If that is not a possible then I would cold hose the area of you can identify the point of discomfort. Protocol is 15 min per spot. And rest the horse in his stall for 72 hours. Of course they need to be taken out to stretch but must be hand walked. After 3 days if they are still lame you have a problem.
Agree with Belinda - Look for heat and swelling, pick out the foot to make sure there is nothing lodged in it. If you don't have hoof testers, a strong digital pulse can indicate abscess. (Digital pulse can be checked just under the fetlock joint where a large vein/artery runs). I would limit movement, NOT a lot of walking. If you can't find a reason for lameness, call the vet.
Look for swelling, cuts, and signs of heat
Check for obvious signs of heat & swelling in leg. Get hoof testers out & see if any reaction. I don't know why you would walk it lots though?!
I agree with Norman, shower and walking a lot, and making sure he doesn't feel any pain :)
Shower massage and walking a lot! But it depends on what kind and why your horse is lame?!