In case anybody interested hasn't seen it, Daniel Lindquist at SOH-Dan has a great set of posts about Wittgenstein, ethics, and Schopenhauer here, here, here, here, and here. He's mostly discussing a conference I wasn't at, so I won't add much. I'm (not unpleasantly) surprised to see that Ray Monk is less of a Hackerite than I had thought. The one time I saw him was at a conference put on by Jim Klagge at Virginia Tech, and I thought he was agreeing with Glock. Perhaps he's just polite (or I misunderstood what was going on). I also wouldn't say that Genius and Talent is bad. It's been a while since I read it, but I remember it as being useful (at least) in pointing out passages in Wittgenstein and Schopenhauer that seem related. It is short, so its usefulness is bound to be limited, and I think it read like a dissertation, so it might not be a very mature work, but if no one else really has done much work on this then it's (much) better than the alternatives, i.e. nothing.
As I recall, Schopenhauer's main themes are the world as will, the world as representation, aesthetics, and ethics. I think someone (probably Geach or Anscombe) reported Wittgenstein as saying that he once bought into the idea of the world as representation but never the idea of the world as will. So one place to look for Wittgenstein's response to Schopenhauer is his remarks on solipsism and idealism. Another place would be Wittgenstein's aesthetics and ethics, of course, where he lacks Schopenhauer's platonism and emphasis on compassion (or so it seems to me) but shares his anti-egoism. See probably everything that's been written about Wittgenstein and Buddhism. Schopenhauer also denies that theory can have value in ethics (I think), so Wittgenstein was probably in sympathy with him there too. On the other hand, Schopenhauer is a determinist while Wittgenstein not only rejects belief in the causal nexus but even identifies this belief as the very definition of superstition. And I think he later says somewhere that he had thought of this rejection as the heart of a new philosophy, or something like that. So it was important to him.
Someone should write another, longer book on the subject. In the meantime, see the links above.