If you cntrl-click on layer while another layer is selected, Photoshop will select the the new layer while leaving the old layer selected. Once you have multiple layers selected, you can right click any of them, and one of the options available will be "merge down". What this does is combines the layers and makes permanent any special effects you have on the layers. That means you can't tweak your emboss or outer glow or what have you. Merging is a way of keeping things from getting nuts on the layers.

I suggest merging less when you're learning, as it is always possible to merge, but difficult to un-merge. When you're doing a tutorial, however, do exactly what you're told.