The Wailing Wall is in Jerusalem. It is believed to be the last remnant of the famous temple built by Solomon in the 10th century BC.
It is sacred to the Jews because it is close to the Holy of Holies, the chamber in the original temple in which the Ark of the Covenant rested.
The Ark of the Covenant was a chest in which, in ancient Hebrew times the tablets of the laws presented to the people by Moses were stored.