It is a part of the ancient wall left over from the Second Temple destroyed by the Romans in 70 AD. It was the Western outer wall of the temple, and in Europe it is more often called the "Western wall" rather than the "Wailing Wall". The second temple in Jerusalem was built in 516 BC. However, the Western wall, which preserved till our day was built by King Herod in 37 BC.
The length of the preserved Western wall reaches 485 meters, but the Wailing Wall, sacred place for Jews, is usually understood as a section of 57 meters with a completely cleared foundation that overlooks a large square in the Jewish quarter. The height of the wall made of massive blocks reaches 32 meters. All Jews come to pray here.
The Solomon`s Temple sometimes referred to as the First Temple was destroyed by the king of Babylon Nabuchodonosor in 586 B.C., and the period of Babylonian Captivity had begun. In 538 King Cyrus permitted the Jews to return to Israel where they began to build the Second Temple in 516 B.C. For about 500 years there was only a small temple on Zion Mount, until Herod (37 B.C. - 4 A.D.) significantly rebuild the Second Temple, having made it almost as large as the First Temple. By the way, it was just the Herod who supposedly ordered to kill all infants in Bethlehem when he knew about the nativity of Jesus Christ.
In 66 A.D. the war broke in Judea, which ended in capturing Jerusalem by Roman legions headed by Emperor Titus. In 70 A.D. he razed the Second Temple, which had lasted 586 years. There remained only some part of the Western Wall.
Why is it so called – the Wailing Wall? It is related with rather difficult fate of the people of Israel. As is known, the Jews were divided into 12 tribes by the number of Jacob`s sons. After Babylonian Captivity only two tribes could return to Jerusalem, those of Judas and Benjamin. All the other tribes were dispersed in the world. And since then there began the wanderings of the Jews outside their home land.
For centuries Romans didn’t allowed them to approach Jerusalem at all, and Byzantines permitted them to do it only once a year, to commemorate demolition of the Second Temple. The Jews came to the Wall, wailed and prayed for the possibility to return to Jerusalem, on Zion Mount, which is the symbol of Jewish religion. It also became the symbol of the Jews` hopes to sometime return to their historical motherland.
In 1948 UNO approved the resolution on creation of Jewish State, which immediately resulted in the war between Arabs and Jews, and consequently Jordan preserved its power over Jerusalem. And the Jews were prohibited to come to the Wall, which was then already known as the Wailing Wall.
In 1967 Arabs again attacked Israel, but after a short six-day war the Israelis established their authority over Jerusalem, and since then the Jews were able to come to the Wall any time they want. Traditionally, they leave messages to the God in the cracks of the Wall (all those who aren’t Jews shouldn’t do it as it isn’t a tourist attraction).