A novel immunization strategy called the random walk immunization strategy on scale-free networks is proposed. Different from other known immunization strategies, this strategy works as follows: a node is randomly chosen from the network. Starting from this node, randomly walk to one of its neighbor node; if the present node is not immunized, then immunize it and continue the random walk; otherwise go back to the previous node and randomly walk again. This process is repeated until a certain fraction of nodes is immunized. By theoretical analysis and numerical simulations, we found that this strategy is very effective in comparison with the other known immunization strategies.