Prerequisites:
How to add a Deus Ex style door
How to add glass windows
Overview:
You'll need to know How to add a Deus
Ex style door and How to add glass windows
before doing this one. Once you know how to add breakable glass, you already
know how to add breakable walls, even if you didn't know it.
As with windows, the first step should be to make sure you have cut out an opening in your wall. Make sure you're actually connecting two "cut out" places, of course. It may be more intesting to make a "broken" hole in the wall rather than just a square. Making a really jagged hole will require some good brush building skills (or you could import a more complex shape as a .DXF file) You may at least want to rotate the brush a bit to give the opening a somewhat irregular look.
Take the same red selection brush you used to cut the hole in your wall and
place the brush so that it is floating inside a room, just like when making
a door or window. Hit the Add Brush to World button: 
,
and texture it. I would assign a very similar texture or the same texture as
your wall. Even if you use the same texture, you can make the texture offset
a little to get a clue to the player that something's different about this section
of the wall.
Now size the red selection brush so that it is bigger than the brush you just
added. Be sure to check all 3 2D windows. Hit the intersect button: 
and the selection brush will be perfectly sized to your wall brush. Make sure
Classes is selected in the Browse drop-down and expand the following items:
Actor, Brush, Mover, and DeusExMover. Select BreakableWall. Now press the Create
Mover button: 
.
As with any movers, at this point, you will actually have THREE brushes in the same place: the red selection brush, the blue "Addition" brush, and a purple "Mover" brush. Move the red selection brush out of the way, and click on the purple brush to select it. Move it somewhere, and you'll notice that your original brush is still there. De-select the mover brush and select the blue brush. Delete it (either hit the Delete key on the keyboard or right-click and select Delete). Now hit F8 and Rebuild Geometry to get rid of your original brush in the 3D view.
The purple brush that is now in your map will only show up as an empty wireframe. However, it will show up fine when playing the level.
Make sure the grid is on, and move your wall piece into the opening that you created. If there are any gaps, it will look weird, so turn the grid off for this if you have to.
To set the strength of your breakable wall piece, set the doorStrength property under DeusExMover. The default is 40%. If you want to make a thin piece of material that even a crowbar can break, lower it to 20% or even 10%. You could also set bBreakable to False, but I'm not sure what the point of that would be.
When testing out your breakable wall, it's helpful to make sure there's a LAM
or something like that nearby.
Rebuild your geometry, save your level, and blow something up!