If Wal-Mart is non-union, how can a strike be legally protected? I thought such protections were only when there is union involved.

Walmart is indeed non-union. That means there is no collective bargaining agreement between the company and its employees who belong to a union. But employees can join a union at any time and work together with a goal for obtaining a collective bargaining agreement. That's often called a "organizing drive". The laws that protect union activity for workers cover union members whether or not they have a union contract.

March 31, 2014
Many non-union employers do not believe that their employees can strike -- and if it happens they tend to react in illegal ways, like threatening employees or even discharging them.  The National Labor Relations Board, in a recent decision, reiterated that non-union employees, in fact, do have the right to strike. 

Facts of the Case:  In Amglo Kemlite Laboratories, Inc., employees at a non-union lighting manufacturer stopped work one morning to protest the lack of wage increases.  The employer directed them to return to work or leave the premises immediately, but they remained inside the facility for several hours.  The employer threatened to discharge half of the workers.  After several days of protesting outside the plant, most of the workers eventually returned to work.  However, the employer told 22 employees that there were no jobs for them because work was being moved to its facility in Mexico.  The employer was then charged with violating the National Labor Relations Act by interfering with the employees’ rights to engage in protected concerted activity.   

The Board’s Ruling: The NLRB found that the employees’ initial work stoppage (i.e. strike) was protected by the Act.  The NLRB did not decide whether the employees lost the protection of the Act by remaining on the premises, because it determined that the employer had condoned the conduct by repeatedly inviting the employees to return to work in the days following the work stoppage and by reinstating all but 22 of them – therefore, even if the work stoppage would have been illegal, the employer’s conduct rendered it protected.  The NLRB found that the threat to discharge half the employees was an illegal reprisal for the protected work stoppage.
Another point of interest is the NLRB’s clarification of the test for determining if employees have been discharged.  The NLRB noted that discharge can occur even if the employer does not explicitly tell the employees that they have been fired.  “The test of whether an employer has discharged employees is whether the employer’s words and conduct would reasonably lead employees to believe that the employer has terminated them.”  In this case, the NLRB noted that the employer’s repeated requests for the employees to return to work could not reasonably have led employees to believe they had been terminated.

Lessons Learned:  It is critical for non-union employers to understand that their employees are still protected by the National Labor Relations Act, and that these employees are entitled to engage in concerted activity, such as a work stoppage, regarding the terms and conditions of employment, including such matters as wage increases.  Once the Act has been triggered, it is important that employers understand what they can and cannot do in response to the employees’ protected activity so that they do not engage in illegal retaliation for the protected activity.
(italics added)

http://www.shawe.com/publications/373-non-union-employees-right-strike

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