Thanks, Markus.
I created a new account on my computer with no spaces in the username.
I then installed Octave 9.2.0 on that account.
I tried installing the parallel package again and got a different warning.
The last three commands are me trying to run an example of pararrayfun to see if the parallel package was installed correctly, looks like it wasn't.

>> pkg install -forge parallel
configure: WARNING: No working fork(), no uname(), or no error.h found. On such platforms, notably Windows and macOS, the remote Octave server will not be built. The
 functions for accessing a remote Octave server are not affected by this and may still be built, as well as the functions for local parallel execution.
warning: doc_cache_create: unusable help text found in file 'parallel_interface'
warning: called from
    doc_cache_create>handle_function at line 98 column 5
    doc_cache_create>create_cache at line 118 column 36
    gen_doc_cache_in_dir>@<anonymous> at line 150 column 20
    doc_cache_create>gen_doc_cache_in_dir at line 151 column 9
    doc_cache_create at line 62 column 12
    install>generate_lookfor_cache at line 836 column 5
    install at line 241 column 7
    pkg at line 619 column 9

For information about changes from previous versions of the parallel package, run 'news parallel'.
>> fun = @(x) x^2;
>> vector_x = 1:10;
>> vector_y = pararrayfun(nproc, fun, vector_x)
error: 'pararrayfun' undefined near line 1, column 12

I tried to install the parallel package on Octave on Windows 10.
I used pkg install -forge parallel as it says to do on the Octave wiki: https://wiki.octave.org/Parallel_package
The output I get is copied below.

pkg install -forge parallel
warning: creating installation directory C:\Users\Tristan Day\AppData\Roaming\octave\api-v57\packages
warning: called from
    install at line 36 column 5
    pkg at line 603 column 9

configure: WARNING: No working fork(), no uname(), or no error.h found. On such platforms, notably Windows and macOS, the remote Octave server will not be built. The functions for accessing a remote Octave server a
re not affected by this and may still be built, as well as the functions for local parallel execution.
cc1plus.exe: warning: C:/Users/Tristan: not a directory
In file included from C:\Users\TRISTA~1\AppData\Local\Programs\GNUOCT~1\OCTAVE~1.0\mingw64/include/winnt.h:635,
                 from C:\Users\TRISTA~1\AppData\Local\Programs\GNUOCT~1\OCTAVE~1.0\mingw64/include/minwindef.h:163,
                 from C:\Users\TRISTA~1\AppData\Local\Programs\GNUOCT~1\OCTAVE~1.0\mingw64/include/windef.h:9,
                 from C:\Users\TRISTA~1\AppData\Local\Programs\GNUOCT~1\OCTAVE~1.0\mingw64/include/windows.h:69,
                 from p-pipes.h:35,
                 from parallel-gnutls.h:86,
                 from pconnect.cc:24:
C:\Users\TRISTA~1\AppData\Local\Programs\GNUOCT~1\OCTAVE~1.0\mingw64/include/guiddef.h:180:15: warning: conflicting C language linkage declaration 'bool operator==(const GUID&, const GUID&)'
  180 | __inline bool operator== (REFGUID guidOne, REFGUID guidOther) { return !!IsEqualGUID (guidOne, guidOther); }
      |               ^~~~~~~~
In file included from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\lo-utils.h:38,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\Array.h:43,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\Array-util.h:31,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\MSparse.h:31,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\MatrixType.h:33,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\mx-base.h:33,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\Matrix.h:34,
                 from c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\oct.h:33,
                 from parallel-gnutls.h:25,
                 from pconnect.cc:24:
c:\users\trista~1\appdata\local\programs\gnuoct~1\octave~1.0\mingw64\include\octave-7.1.0\octave\quit.h:84:15: note: previous declaration 'bool octave::operator==(const octave::frame_info&, const octave::frame_info
&)'
   84 |   inline bool operator == (const frame_info& a, const frame_info& b)
      |               ^~~~~~~~
g++: warning: Day/AppData/Local/Programs/GNU\: linker input file unused because linking not done
g++: error: Day/AppData/Local/Programs/GNU\: linker input file not found: No such file or directory
g++: warning: Octave/Octave-7.1.0/mingw64/include: linker input file unused because linking not done
g++: error: Octave/Octave-7.1.0/mingw64/include: linker input file not found: No such file or directory
make: *** [Makefile:199: pconnect.o] Error 1
make: Entering directory '/c/Users/Tristan Day/AppData/Local/Temp/oct-fpDHUy/parallel-4.0.2/src'
CXX="g++" CXXFLAGS="-g -O2 -IC:/Users/Tristan\ Day/AppData/Local/Programs/GNU\ Octave/Octave-7.1.0/mingw64/include -Wno-int-to-pointer-cast -Wno-deprecated-declarations" C:/Users/TRISTA~1/AppData/Local/Programs/GNU
OCT~1/OCTAVE~1.0/mingw64/bin/mkoctfile-7.1.0.exe -c pconnect.cc
make: Leaving directory '/c/Users/Tristan Day/AppData/Local/Temp/oct-fpDHUy/parallel-4.0.2/src'

error: pkg: error running 'make' for the parallel package
error: called from
    configure_make at line 117 column 9
    install at line 202 column 7
    pkg at line 603 column 9