Create a new, empty library - this will become your "main" library. Alternatively, you can choose one of your already existing libraries to be the "main" library.
With the "main" library open, click on File, Import.
Click on the Choose File button and pick one of the libraries you want to merge with the "main" library.
As Import Option, choose EndNote Library (NOT EndNote Import!)
Click on Import button.
Repeat to merge other libraries with the main library as necessary. Note that this process also keeps the original libraries. You may want to save or delete these.
Answers
Create a new, empty library -