It appears that MPICH2 is the MPI distribution recommended for Windows, so I would also recommend that you use it. It may not be easy to get everything installed and working, but it will be much easier to get help from others if you use the recommended distribution.
I expect that you could get "parspatstat" working on Windows using MPICH2/Rmpi and that it will allow you to use multiple cores, but it may be hard. If you have a choice, I would definitely recommend using Linux, especially a Debian-based distribution, which has excellent support for Rmpi.
Although MPI is primarily geared towards use on multiple machines, such as clusters, most implementations have support for running on multicore machines. Still, it may be worth testing "parspatstat" on a Linux machine before you spend a long time trying to get it working on Windows.