I have some problems when is coming time to merge faces or objects. I  created three faces and extruded them. Now i need to unify them to make just one block and i don't know if merging is the right think to do.

Hello Yves,
 
  Merging faces creates one face from a selection of connected faces. Its a topological change, and can also change your geometry. It does not fill the area between two separate faces.
If you need to fill an area, use the create face tool.
 
If you have 3 separate objects, first merge them together.
Merging objects creates one object from several objects, but does not change the geometry.
 
Could you send a screenshot of your scene ?  
 
Best,
 
Stef