It looks close, but you are dealing with different levels. To walk you go out, turn right and walk to stairs, up the stairs, walk over the bridge which leads to Gamla Stan. Walk to your right, turn left when you reach the shore and the ferry building is there a short distance away. (This is my memory from two years ago, if I am mistaken, please someone correct this). Cabs have to drive up the hill to drive over the bridge.