In English, we form the present progressive by conjugating "to be" and then using the gerund of the main verb.
Just like in English, you cannot conjugate the main verb the same way as the auxiliary verb. We don't say "He is walks", we say "He is walking".
But most Romance languages tend to use the simple present in places where we in English would use the simple present or the present progressive.
In French, the present progressive is used differently (typically when you need to highlight that it's happening right now) and formed differently than in English: Je suis en train de marcher.
For now, just stick with "Je marche".