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It doesn't seem like they're going to go into a lot of detail about this, so a little backstory on the Wall-it's manned by the Night's Watch who, as someone already said, are sworn to take no lands or father any kids. At this point in the history of the books, a lot of the men there are murderers, rapists, etc-instead of being executed or sentenced to life in prison, they are offered the chance to join the Night's Watch with the condition that they must spend the rest of their lives there. Desertion is always punished by immediate execution. They're supposed to protect the kingdom from everything north of the Wall.

As for how the guy got over the Wall-it's hundreds of miles long and there are only three castles left along its length. One little detail that's slipped into a later book is that there are only about three men to guard each mile of the Wall, so aside from its height, it would probably be pretty easy to slip past a guarded section of the wall. Plus, it's thousands of years old, so a lot of it is crumbling.