Learn Russian: Мы хотим пойти в парк.

While идти means the ongoing action of walking right now, пойти means 'to set off' or 'to go' as a complete trip. After words like хотеть (to want), Russian strongly prefers пойти to focus on the whole idea of making the trip, rather than the physical process of walking.

Does пойти mean we are walking or taking a bus?

We are walking! The verb пойти is built from идти, which specifically means 'to go on foot'. If you wanted to go to the park by bus or car, you would use a verb based on ехать (to go by transport), such as поехать.

Why isn't the destination in the Prepositional case?

Because this is motion towards a place, not a static location. When expressing a destination, Russian uses в or на plus the Accusative case. Since парк is a masculine inanimate noun, its Accusative form looks exactly like its dictionary form. You only use the Prepositional case (в парке) when you are already located inside the park.

Why does the verb for 'we want' have a т (хотим) when 'I want' uses a ч (хочу)?

The verb хотеть (to want) has an unusual conjugation. In the singular forms (I, you, he/she), the stem uses ч (for example, я хочу). But in the plural forms (we, you all, they), it switches to a т (мы хотим). It is one of the few verbs that does this, so it is best to memorize its forms as a special case!