[jdiwnab]

If you are wanting to perminatly group objects together (like 2 parts being welded together) you can use Boolean commands. I forget exactly were they are though. Where ever they are, you want to add them together. There are little icons that represent the different boolean functions. (At least there were in 4 and 5). You select the kind of function you want to do and then select 2 parts you want to join. You can join more, but you need to do many additions.

If you are wanting to put parts together (like legos), you want to use the group command. It should have it's own menu in the menu bar. You select the objects and just go to group. You may want to rename the group though (Group 1 isn't very descriptive). You can group boolean objects and use boolean on grouped objects, but if you do the latter, you can't really undo it, they are one part now.