They're about twice the size of a walnut and green when fresh (and they smell wonderful!). This covering then slowly turns brown (later black) and splits, revealing the walnut underneath. Sometimes they stay on the tree like this, but more often they fall on the ground as the outer covering of the fruit withers.

There is a photo here:
http://www.danielsfarm.com/GreenWalnuts.jpg

they are so delicious too, hope you can enjoy fruit on your walnut tree soon! ours is still too tiny.