To combine them, start by deleting history (Edit > Delete by type > history), Note: this will unskin your character, but you want that since your geometry is going to change.

Next, Select all the pieces you want to combine, and in your Polygon modeling menu set (F3), Select Mesh > combine, Note: this makes everything one mesh, it still does not make it all one piece.

From here you need to do a little clean-up by merging the vertices's where the different pieces were separated, you can see where the edges are by going Display > Polygons > Border Edges, Note: this makes your edges that are not connected to 2+ faces appear thicker, and will help you find where the vertices's that you need to merge are.

Select the verts around the edges that need merging (the thick border edges), and in your polygon modeling menu set, select Edit Mesh > Merge [Option Box], turn your threshold down low (0.001 is usually where I start) and hit merge. Note: your threshold measures the distance between vertices's that will be tolerated in order to merge, if your turned your thresholds up, you will start merging vertices's further and further apart, and if turned high enough, could merge your entire mesh into a single vertices's. Note: You don't need to merge vertices's on everything, you just don't want any holes in your mesh.

After cleaning up your mesh, delete history again and freeze transform (Modify > freeze transformations).

Now reskin your mesh (in the animation menu set (F2), Skin > Bind skin > Smooth Bind [Option Box] and set to default for learning purposes).

Hope this helps.

Mark Neil

PS, your skeleton looks like it has a lot of extra, unneeded joints. Can you provide a screen shot (or Maya file) of just the skeleton?