PC World has gone right to the source and asked Walmart about their rumored HD DVD player. While the company could not comment on their deal with Fuh Yuan, they denied that they had placed a substantial order for HD DVD players.
A spokesperson for the company said Thursday that reported leak concerning Taiwan-based consumer electronics manufacturer, Fuh Yuan, partnering with TDK in China to manufacture the $250-299 players, had no merit. The report first appeared in AVS Forums, and was picked up by other Web sites.

"The article… was full of inaccuracies and we had no participation in it," the spokesman said in an e-mail to PC Magazine. "Most of the facts, including the purchase, were untrue," she added. "Not sure how it originated."
And no, Walmart has not chosen a side in the battle between Blu-ray and HD DVD. When talking to PC World, the company said that it plans to support both formats, at least until there is a definite winner. If you'd like to read more, the entire article can be found here.