The Wall Tool can be found in one of the top menu bars as an icon that looks like a wall.
To start drawing a wall, ensure the icon is selected, then go into the 2d plan view, click the mouse button and then move your mouse to the desired end point of the wall, and then click again.
A new wall, which is joined to the first, will begin to draw and the process continues until you press ESC.
If you want to change a wall, you can select the Selection tool, which is left of the Create Wall tool and resembles an arrow. This will allow you move the wall, either of its start or end points, or to give you the option of splitting the wall, or even deleting.
If you have two walls that aren't joined, you can select both while holding down the shift key, and then press Plan->Join Walls.
You also have the option to create rounded walls. The video explains best how this is done.
You can double click a wall to get it's modifiable properties, such as colour, texture, thickness, start and end heights, and many more.
You can also, right click the wall, and then select Modify Wall to get to the same options.
That there is no need to create hole for doors or windows, since when dragging doors and windows into the plan, Sweet Home 3D will automatically calculate them for you