If you have a later version, you may have to shift, right click and then select "Merge/Collapse Edge" from the marking menu and then select "Collapse Edge".
I have Maya 8.5 and I don't have Collapse in my Edit Mesh Menu set but there is an icon for callapse in my Polygon Shelf.
Don't be satisfied with what you can do but rather strive to do the things you can't do!
Exceed Expectations!