Prisoners of war walk the Bataan Death March, in the Philippines in April 1942. The 25th Annual Bataan Memorial Death March was held at White Sands Missile Range near Alamorgordo, N.M., on March 23, 2014. - Prisoners of war walk the Bataan Death March, in the Philippines in April 1942. The 25th Annual Bataan Memorial Death March was held at White Sands Missile Range near Alamorgordo, N.M., on March 23, 2014.