As usual, a connect wall is a $4\times4$ grid, which has 16 words inside it. They are broken into 4 groups of 4 words,and each group has a relationship. The four words defining the relations are themselves related, and the relations are defined by a single word as well. You can find more information at Stiv's excellent post about it.
Here is the connect wall (unfortunately Markdown does not support coloring, which is crucial for this puzzle, so I've decided to stick to the image, but see text version below):
The text version in CSV (note that the word in R1C4 is colored red):
UNIT,TREASURE,LAW,OCTOBER DOWN,ROT,WHEEL,BAKER NUTCRACKER,OUNCE,CLAY,SHOWDOWN, LEWIS,HARRY,MCCLURE,MAIL
One of the 4 groups is homophonic.