The riddle
What Do You Call a Fly with No Wings?
Fly as a noun and a verb
"Fly" names an insect, and it is also the verb for moving through the air. The two are not a spelling accident: the insect's name goes back to an old word for the flyer (Online Etymology Dictionary). The riddle starts with the insect and imagines one that has no wings, which leaves the verb with nothing to do. The only way left to travel is on foot. A walk is an outing on foot, so "a walk" is both what such a creature would do and the noun for that kind of trip.
One pair of wings, not two
Britannica explains that the true flies, the order Diptera, use only one pair of wings for flight. The second pair has shrunk to small knobs called halteres, which work as balance sensors while the insect is in the air. The name Diptera comes from Greek words for two wings. Wings are the feature that gives the group its name, which is why a fly with none makes such a tidy joke.
Birds on the ground
Some birds cannot fly at all. Britannica lists ostriches, emus and kiwis among the flightless birds, and all of them get around on foot. The riddle borrows the same idea and applies it to an insect in the least serious way possible.
Telling it plainly
Nothing in the joke needs more than the missing wings. The structure is subtraction: take a creature, remove one feature, and name what remains. Ask the question, let the group suggest names for the insect, and give the answer with a short pause before the last word.