You can do a couple of things:
You can try booleans. Go to the create panel. Select one of the objects, go to compound objects and pick booleans, then click in pick operand B and select in the viewport the second object. Then repeat with every other objects.
The problems with booleans that I found is that if the objects are too complexes it doesn't work very well and almost always end up with internal (and unneeded) polygons or the objects are not merged correctly... but you can try....
Also you can simply attach all the objects. This way it does nothing to the mesh, it simply attach them together as if it were a simple mesh. It does not merge polygons nor do anything to the mesh.
You do this by converting an object into an editable mesh and then in the stack go to attach list and select all the objects. And thats it!
Hope this helps and sorry about my english......
Mariano