The woman had left the store and gotten in her vehicle when a man wearing a ski mask opened the back passenger door and sat inside, police said.
The man displayed a black handgun and demanded cash and jewelry, so the woman gave him her immediate possessions.
The suspect then told the woman to drive him away from the area, police said. She took him about 100 yards, and he ran from the car.
No injuries were reported.
Police are working with Wal-Mart security to review parking lot footage and develop additional leads.
The suspect is described as a black man between 18 and 30 years old with a small build, wearing all dark clothing.
Anyone with information about the robbery is asked to call Officer Novelli at (707) 449-5200.