For merging vertices, use Alt-M. Then click the menu that appears to select the merge location; or press 1, 2 or 3 to select one of the menu entries if you prefer to use keys (Alt-1 etc if you want to select 11th entry, which is not the case for this small menu, but needed for longer ones, up to 20 items).
Newer versions also let you press letters, look for the underscored letters. The numbers was the original Blender style (like view layers, you get 20 shortcuts, 1, 2... Alt-1, Alt-2...), which was rather fast until menus started to juggle contents at random and any muscle memory was destroyed every 6 months. Never gettting easy-to-visualize hints is another reason for them been obscure shortcuts hard to (re)learn.
If Ctrl-W does two things (in which version does it Weld?), do not use Ctrl-W, you're only testing your luck. Avoid as much as posible those keycombos that do different things depending on other factors, specially if one of the thing can be really nasty, like overwriting your file with bad work you want to discard (you should have multiple backups enabled in Blender, but even so, you would just waste one slot). Ctrl-S is Save in Object mode and Shear in Edit Mesh, but Save is F2 (too), so you can use it for Shear only. Maybe someday Blender developers will put some sense into keybindings and eliminate all the reuse and duplicity the configuration keeps piling on with time. Maybe... as the nonsense has lasted enough to lose hope.
You can Join two or three meshes, keeping others separate, just make sure one of them is Active, which will become the destination of all the triangles (important for name and other things). It should have a different shade of selection color (that or your color theme is useless ^_^ ). To be sure, no matter if you use box select or select all commands, you have to select one item last, with Shift and click (eer... whatever the button it's today, originally select was on right button). That was a common problem with newbies, some select operations don't set any Active object.
But the best: do not Join mesh objects if you don't need to. Nor use booleans, if you can avoid them. Shapeways' upload will do all that for you. Just make sure all your meshes are closed, with the right normals and no vertex overlaps with others. At worst, do a "join everything" then Remove Doubles and use Select Manifold to discover problematic zones, before saving the file you will upload (if all goes OK, undo and save the non joined meshes, the merging is just a test). Another advice about uploading to SW: try .obj format instead of .stl. And remember you can zip files for faster upload.