When you use the notification system to go to a post ("X friend commented on your post"), you are taken to a page with just that post, not your entire wall. You can also get there if you receive an email notification and click on see the message, but, how can you get that URL for any given post, without the notification/email?
Hover over the timestamp for the post. It is a link very similar to the way it works on Twitter.
Rebecca Chemoff is right..though you don't need to hover. Just click on the "date" of the post. For example, on every post, there is the date, like "9 November" -- that contains a link. Click the date, and voila, the url of the post appears.