what is the significance of this wall?
It is the site where the Islamic Prophet Muhammad tied his winged steed, al-Buraq, on his Isra and Mi'raj to Jerusalem before ascending to paradise, and constitutes the eastern border of "al-Haram al-Sharif", the Noble Sanctuary of the Al-Aqsa Mosque
Western Wall
In one of several varying Muslim traditions, it is the site where the Islamic Prophet Muhammad tied his winged steed, al-Buraq, on his Isra and Mi'raj to Jerusalem before ascending to paradise, and constitutes the eastern border of "al-Haram al-Sharif", the Noble Sanctuary of the Al-Aqsa Mosque.

The Western Wall's holiness in Judaism is a result of its proximity to the Temple Mount.
where is the western wall located in jerusalem Old City of Jerusalem
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Western Wall [SEP] Introduction
This process was finalized by Herod, who enclosed the Mount with an almost rectangular set of retaining walls, made to support the Temple platform and using extensive substructures and earth fills to give the natural hill a geometrically regular shape. On top of this box-like structure, Herod built a vast paved platform that surrounded the Temple. Of the four retaining walls, the western one is considered closest to the former Holy of Holies, which makes it the most sacred site recognized by Judaism outside the previous Temple Mount platform.