1. Laredo TX bridge crossing and Mexico Visa
NO Mexico visa is needed as you NEVER ever see Mexico immigration while crossing the bridge and coming back.
NOTE: If US rejects your entry (once you have crossed the bridge and trying to re-enter US), you will HAVE to go into Mexico and then your US approved i797 is valid for Mexico entry.
This is exactly same as can happen at any port of entry airport where if the immigration officer rejects your entry, you are deported back to your country.
This is a risk that you would need to take if you decide to cross border.
If you do not want to cross border, you can come back to your home in US as you are still on US side.
2. Crossing the bridge half way meaning
You only EXIT US border and then return back mid-way to re-enter US immigration building.
The bridge is a connecting street between US and Mexico right on top of river Rio Grande.
So, when you exit US, you immediately see yourself stepping on the bridge.
Walk on the bridge till you see a small gate (yellow line shown in images - exactly at half point) that you can use to go across the street and start walking towards US immigration.
3. Is it Okay to turn back half way ?
YES, it is perfectly fine. I even confirmed this from the US police deployed on the bridge, before attempting to do it myself
The crossing may not look like a real street crossing as you would have seen in US. Its more like Indian street crossing.
You may not see people crossing over either and the small gate might be closed too as 99% of people there are Mexicans who are either going towards Mexico or entering US.
So, they do not really have any need to jump the gate and go across the street.
BUT, it does not matter, you can still JUMP over the gate and go (That’s what we also did).
Also, the street has lots of cars and there is no pedestrian walk light.
You have to cross the street as you would have done in India You know what i mean!
Let me know if you need more information.