Lyric discussion by rolf1304 

Cover art for Walking The Cow lyrics by Daniel Johnston

I always looked at it this way

As Phonophobe says, in "Go" Daniel says "Someone said that life is like a cow, but I don't know how that applies"

He isn't confused by his own metaphor at all. If life is like a cow, walking the cow means something like the walk of life, or "living life", which is also a D.J. song.

This way it always seemed right to me, and it's basically the same as what Daniel says in the movie.