It's a good question. The naive answer is that the two concepts are different.
Random walks on ${\mathbb Z}^d$ or ${\mathbb R}$, etc. are examples of a random walk on an additive group $G$. There is a fixed distribution $\mu$ on $G$, and at each time you randomly select an element of the group (using distribution $\mu$) and add it to the current state.
In contrast, for a random walk on a (locally finite) graph, you randomly choose an edge uniformly and follow that edge to the next state (node).
However, the concepts may be related at a deeper level. The first chapter of Woess's Random Walks on Infinite Graphs and Groups explains how a random walk on a graph is related to a random walk on a quotient of its automorphism group, and also how a random walk on a group is related to a walk on its Cayley graph.
I haven't read the book in detail, but my impression is that, nevertheless, the two concepts are not exactly equivalent.
Update (Nov. 7 2010)
Any stochastic process $(X_n)$ taking values in a countable state space
can be built up out of the following pieces:
(1) an initial distribution $P(X_0=x)$ that tells us
how to choose the starting point.
(2) transition kernels that tell us how to choose the next
state given the history of the process up to the present, that is,
$P(X_{n+1}=x_{n+1} | X_n=x_n, \dots, X_0=x_0)$.
Now, a process is called Markov if the kernels only depend on $n$, $x_{n+1}$ and $x_n$,
that is,
$P(X_{n+1}=x_{n+1} | X_n=x_n, \dots, X_0=x_0) = P(X_{n+1}=x_{n+1} | X_n=x_n)$.
This is a big assumption and a huge simplification. But enough models of
real world random behaviour have this "memoryless" property to make Markov
processes wide spread and extremely useful.
A further simplification is to assume that the Markov process is time homogeneous,
so that the transition rules only depend on the states and not on time. That is,
we assume that $P(X_{n+1}=y | X_n=x)=P(X_1=y | X_0=x)$ for all $x,y$.
The crucial point here is that $p(x,y):=P(X_{n+1}=y | X_n=x)$ is the same for all $n$.
Let's now assume that the state space is an additive group.
The transition kernels for a general process can be rewritten in terms of increments:
$$P(X_{n+1}=x_{n+1} | X_n=x_n, \dots, X_0=x_0)$$
can be written
$$P(X_{n+1}-X_n=x_{n+1}-x_n | X_n-X_{n-1}=x_n-x_{n-1}, \dots, X_0=x_0).$$
If the increments are independent, then this becomes
$$P(X_{n+1}-X_n=x_{n+1} -x_n)=:\mu_n(x_{n+1}-x_n).$$
In this case, the process is automatically Markov and
the transition kernels are an arbitrary sequence $(\mu_n)$ of probabilities on the state space.
Finally, for a random walk we assume both time homogeneity and independent increments.
Thus, the transition kernel $p(x,y)$ is represented by a single measure: $p(x,y)=\mu(y-x)$.
This imposes a kind of homogeneity in space and in time.
We are down to an extremely special, yet still
interesting process, that only depends on the initial distribution and
the single measure $\mu$. This is why Ross insists that for random walks the increments are
identically distributed; just being independent is not enough.
Because random walks are so special, they can be analyzed by
mathematical tools that don't work for most Markov processes. In particular,
tools from harmonic analysis are very fruitful here.
A standard reference, though a little old, is Principles of Random Walk (2nd ed)
by Frank Spitzer. A more recent treatment is given in Random Walk: A Modern Introduction
by Gregory Lawler and Vlada Limic (2010).
Here's an exercise to convince you that random walks are only a small part of
all Markov chains. Take the state space to be the corners of a triangle, labelled $\{ 0, 1, 2\}$,
considered as the group ${\mathbb Z}$ mod 3. Any 3 by 3 stochastic matrix
(non-negative entries and row sums all equal to 1) defines a time homogeneous Markov
chain on this state space. Which of these are random walks?
Best Answer
In light of your other question, one should say there are a lot of things referred to by the name "random walk". In its simplest form, Donsker's theorem is about a process $X_n$ in $\mathbb{R}^d$ whose increments $X_n - X_{n-1}$ are iid with any distribution that has zero mean and finite variance. In particular, the increments do not have to be Gaussian. It then asserts that the scaling limit of the process $X_n$ is $d$-dimensional Brownian motion (aka Wiener process).
There are lots of other stochastic processes that have Brownian motion as their scaling limits, and still other processes that have a scaling limit that is not Brownian motion. Is there something specific you're interested in?