Merge is a menu pick under File.
You can only merge two files at a time so Pick the one you want to be the master file then merge the others into it one at a time. You can have them all on screen at the same time with no problems but to be safe and not try to merge a file twice is to close each merged file following its completion of merge.
If, as you say, there are no duplicates, then you will get a single file containing all the merged files but they will not be connected as it take at least one Duplicate, individual matching an individual in each file, in order for them to "Link" each other. Be aware that for an individual to be linked automatically he must be 100% equal in both files otherwise you will have to use the "Merge Duplicates" script but you have to be extremely careful of those merges especially if you have several individuals of a very close match to each other.
Sparkgapper