Crossing by foot! and another question

Ladies and Gentlemen,
In a moment of enlightenment (or delirium, its a fine line) the thought to cross over to Canada by foot has occurred to me!
More specifically, by foot over the Rainbow Bridge connecting Niagara Falls, ON and Niagara Falls, NY.
If anyone has attempted this maneuver as a citizen of a third country, please spring forward.

Anyways a more important question is, and I hope you can answer it, whether I must land in Toronto
which I have mentioned in my Federal Skilled Worker application; or am I free to provide
any address in Canada as my mailing address (including a motel because I do not know anyone in Canada).
I only intend to settle in Canada there after two/three years.

Thanks!