Learn Spanish (Latin America): Ellos van al parque a pie.

Walking is the big exception to the rule! While you use en for vehicles you ride in or on (like en autobús or en bicicleta), "on foot" is always expressed as the set phrase a pie.

Where does the word al come from in al parque?

It is a mandatory contraction. When the preposition a (to) is right next to el (the masculine word for "the"), they squish together to form al. Since parque is masculine, you must say al parque instead of a el parque.

Which verb is van?

Van means "they go", and it comes from the verb ir (to go). Ir is a highly irregular verb, which is why its forms (like voy, vas, and van) look completely different from the infinitive.

In English we say "on foot". Does the Spanish word a usually mean "on"?

Not usually. The word a most commonly translates to "to" or "at". However, prepositions rarely match up perfectly between languages. In this specific phrase, a pie translates to "on foot", but it's best to memorize it as a fixed expression.