What and where is this wall?
This is supposed to be Labyrinthian. I have not found it either. But I think it is the entrance where you battle the frost dragon.
Outside the main building of Labyrinthian, you will find another "snow covered building".
Here you find a skeleton that has the wooden mask. Equipping the wooden mask transports you to Bromjunaar Sanctuary. You have to equip the mask in the snow covered building only. Anywhere else it does not work.
That looks like the Dragon Priest Shrine:
Spoilers:
When you collect all the masks, you can use it to obtain the final secret mask, Konahrik.