Suppressors are COOOL!! The "can" for the Walther P22 is a really nice package; my partner just got the paperwork back on his last week. Decide which suppressor you want. Find a dealer for that manufacturer in your state and contact them about making the purchase. The dealer will provide you with the necessary paperwork. A suppressor is classified as a Class III weapon under the National Firearms Act. Possesion of the item requires the same paperwork you would need for a machinegun; specifically a BATF Form 4, and all required documentation. Required documentation (everything in duplicate) includes the completed Form 4 with CLEO signature(the chief law enforcement officer in your are must sign the form, ie. Sherrif) and attached photo and fingerprint card. Last but certainly not least, there is the small item of the required $200 tax on the transfer of the suppressor.
My personal recommendation is SWR Tactical, they make very impressive suppressors. I have thier intergrally suppressed Ruger MKII, and thier 9mm Sub-gun can. My partner has thier .22 and .308 can. The benefit to the muzzle can (like the one for your walther) is that you can attach it to any other .22 cal rifle/pistol that can be threaded to accept it.
Just a little info, there are other ways/procedures; this is the most common.
Good Luck[:D]