I guess you have made too seperate objects right? and you now want them to become one.
If this is the case, you need to click on one object, then shift click on the next.
The go to poly combine.
Now when you click on them, they act as one object. But even though its done this, it doesnt mean the verticies are welded. So thats what you have to do next if your going to smooth the object.
Right click on the object, and slelect vertex from the menu. Then select all verticies. Then go to Poly, merge verticies option box. Make sure the setting is around 0.001, or the lowest number you go. If your setting are to high you will end up will all your verticies mergeing.
So now click apply, and that should be it.. All joined and all merged :-)
Hope thats answers your question.. lol, if not i got good typeing practice anyhow..

Catchya