There's a guard above the Megaton entrance called Stockholm. To get to his walkway you need to be outside.

Once outside go right till you get to where part of the wall is part of an airplane wing on a small hill. Go to the right side of this and run and jump up onto the corner as far as possible.

Then save and reload. As you reload, hold the left stick up (some may also need to keep pressing A). You will edge slowly up the corner.

Keep repeating this until you slip through the bit of metal structure and you're on the walkway!

Note: if you move sideways occasionally this is normal just carry on. I think the makers know about players getting up there and have tried fixing it, as there's a kind of an easter egg. When you get up and talk to Stockholm he says, "The more time I spend talking to you, the less time I spend watching for raiders. How the hell did you get up here, anyway?"