Weld Selected Objects
You can use the Weld Selected Objects tool when you want to combine two meshes into one mesh.
Icon & Location
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Toolbar: Editing & Selection
To use the Weld Selected Objects tool:
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Open a model.

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Using the Select tool, select one mesh:

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Using Crtl or Shift, select the second mesh:

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Click Weld

The meshes are combined into one. Notice the color is now white not grey: