You work down on Wall Street (no "the")

...unless you're a hooker ;-)

<rumour has it many working there are occasionally seen going up the wall>

He works on Wall Street.

Helmi's "down" (down on Wall Street) is not wrong, but it's also not necessary, unless you're trying to emphasize the geographical aspect of it, in that Wall Street is at the south end of Manhattan.

"to work on Wall Street", by the way, does not necessarily mean to work on Wall Street, the street itself. It means more broadly, to work in a New York-based securites firm / investment bank.