During the first half of the show they build the wall up, culminating with the musicians being bricked in behind it at the end of part one. During part two they project images onto it - starting off with images that mesh perfectly onto what's actually there, and then shifting perspective, or moving individual bricks, or just projecting massive bits of video onto it.
The two most effective bits were Run Like Hell:
and Vera/Bring The Boys Back Home:
which managed to make me cry. Bastards.
(thanks to bart_calendar for reminding me to post these)
Original post on Dreamwidth - there are comments there.