Walker told BBC Radio Northampton: "We know there's good players here, more than capable of being at the other end of the league.
"But we're here for a reason. The game [against Bury] is massive and we're all treating it as another cup final."
Walker added: "We haven't performed and until you're safe, you look over your shoulder."
Northampton have drawn three of their last four matches under Gary Johnson, who took charge in early March and is still awaiting his first win as manager.
"It would be nice to nick a win and then we can play with a bit more freedom and confidence," said Walker.
"I think once that win comes, you'll see two or three coming off. But we need the fans' support more than ever. We need them on our side because when Sixfields is rocking, there's not a better place, and the fans are like a twelfth man."
Source: BBC Sport
Source: BBC Sport