The place to be is the Portales downtown, then you are in walking distance of many interesting parks, gardens, museums, churches, theatres, stores, restaurants, hotels and government offices.
Another interesting location not far from WalMart would be Parque Urawa and the library.
On the southwest corner of town by ITESM Tec de Monterrey is the Centro Cultural Mexiquense with an anthropology museum, folk arts museum, modern arts museum, and library.
UAEM state university related events and centers and located all over the city, though most are located in the Ciudad Universitaria and stadium on the west side.
