I had no idea what WalkMe was but looked it up on youtube. I believe there is a plugin for the browser and OS to implement this. I know of no specific integration with Windchill. I would think that WalkMe would assist if there was application specific integrations that were necessary. The video I saw appeared to not care as it was operating in the browser as an extension.
Long back I implemented it for one of my client. I couldn't recall the exact process now, but I think you can do it by adding the script element to appropriate JSP file. For example: begin_custom.jspf
@adeshmukh-2, by any chance do you have sample handy?