In a medium bowl combine cream cheese, walnuts, lemon juice, horseradish, salt and pepper. Mix until fairly smooth. Cut 2 or 3 slashes in each side of trout. Spread cream cheese mixture on inside of trout. Grill for about 10 minutes turning once.
Fish is done when flesh flakes.
Garnish with lemon slices. To toast walnuts place on baking sheet on grill and bake for 4-6 minutes until golden. Place lemon slices on grill for 1-2 minutes to mark each side.