Why am I getting “Enter Parameter Value” when running my MS Access query?

This is because Access does not allow you to use field aliases in the query - it does not recognize [City Name] as a valid field name. Aliases are only used as field names in the result set. Rather, you need to use the entire expression.

As such, this query would probably be more easily defined in Access as:

SELECT ID, 
       Name, 
       CityName AS [City Name]
FROM Employee INNER JOIN City
    ON Employee.CityID=City.CityID
WHERE CityName = "New York"

Also, 'Name' is a reserved word - using it as a field name is not suggested.