Wembley is in North West London. Strategically located close to arterial roads, it is also well served by rail, underground and bus services. Parking in the area is limited and must be pre-booked. Combine this with the inevitable gridlock which routinely occurs and you'll probably find that any other method of travel is preferable. Do be aware that it is several (rather un-scenic) miles from the West End, and only the most dedicated walker should contemplate the journey on foot: take the bus, train or tube instead. You could also bike to Wembley - there's parking near the main entrance.
The map shows the location of Wembley relative to the West End of London. It is easy to reach from the M1, M40 (A40), M4 and M3, and is well signposted off the western side if the North Circular A406.
If arriving by rail, take whichever option is most suitable depending on your arrival station.