Learn Spanish (Spain): Caminamos al mercado.

In Spanish, whenever the preposition a (meaning "to") comes right before the masculine word for "the" (el), they must combine into the single word al. This makes pronunciation much smoother!

What happens if the destination is a feminine word? Do we still combine them?

No, this contraction only happens with the masculine el. If you were walking to a feminine place, like the beach (la playa), you keep the words separate: Caminamos a la playa.

Where is the Spanish word for "we" in this sentence?

The word for "we" is nosotros, but it is usually dropped. The -amos ending on the verb caminamos already tells us exactly who is doing the walking, so adding nosotros is completely optional.

Why do we need the preposition a here?

You use the preposition a after verbs of motion, like caminar (to walk), to show the destination you are heading towards.