If you set your Windows app for 8 Data bits + Parity, the Parity bit will be the 9th bit.
But the PC does not have direct access to the parity bit, because parity generation & checking is handled inside the PC UART's hardware.

Therefore the PC has to deduce the state of the received Parity bit by knowing the current Parity-check setting and examining the Parity Error flag on a byte-by-byte basis.

To control the transmitted Parity bit, you would have to choose Mark or Space parity on a byte-by-byte basis.

The trouble with most Windows serial IO packages seems to be that they don't give you this necessary byte-by-byte access; especially for the received parity - they just tell you that a Parity Error occurred somewhere in the last received characters. :-(