I haven't been in the last couple of years but previously the pedestrian bridge was closed, and you could not use it to access the Henry Ford. I wouldn't count on it being open unless you hear from someone who's been there and can confirm it.
There is a Comfort Inn right next to the station that is an easy walk and they used to provide a free shuttle to the Henry Ford. I've also walked it a few times but it is a bit of a far walk.
And lastly.. the Henry Ford is an INCREDIBLE place to visit - I've taken Amtrak out there several times and I've always had such a great time. The indoor museum and the outdoor Greenfield Village both need a full day to experience - if you need to choose one PLEASE choose the village (unless it's bad weather). The Greenfield Village is such an enjoyable place - you can ride the steam train, ride the Model T cars, and all of the buildings have guides that will tell you all about the history. For a train fan, you can walk through the working roundhouse and go inside the Smith Creek Station. Of course... if you are a train fan you'll need to go inside the Museum to see the trains in there as well.