To quote the wikipedia entry:
The Menahan Street Band is a collaboration of musicians from Sharon Jones & the Dap-Kings, El Michels Affair, Antibalas and the Budos Band, brought together by musician/producer Thomas Brenneck to record hits in the bedroom of his Menahan St. apartment in Bushwick, Brooklyn. With influences reaching beyond the funk/soul/afrobeat architecture of their other projects into the more ethereal realms of Curtis Mayfield and Mulatu Astatke, the Menahan Street Band creates a unique new instrumental soul sound that is as raw as it is lush.

Make The Road By Walking takes it name from an organization named "Make the Road By Walking" which is located around the corner from Menahan Street (on Grove Street) which "catalyzes change for low-income New Yorkers by working in five Impact Areas: Expanding Civil Rights and Civic Engagement; Promoting Health for all New Yorkers; Improving Housing and Fostering Environmental Justice; Winning Justice in the Workplace; Promoting Access, Excellence and Opportunity in Education." It sounds like every community could do with an organisation such as this.

The "Make the Road By Walking" organisation, in turn, takes its name from the poem Proverbios y cantares XXIX by Antonio Machado (1875-1939):

Caminante, no hay camino,
se hace camino al andar.

Searcher, there is no road.
We make the road by walking.