Confused about merge command

 From:  Sutts (SUTTS99)
10716.1 
Hi all,

When I construct a profile from multiple joined segments and extrude it, the resulting solid shows lines where the various segments meet.
I thought I might be able to use the merge command to merge the multiple segments into a single curve before extruding but it doesn't seem to do anything. The join command joins the line segments together but the extruded object has the lines showing. Am I misunderstanding the merge command and if so, is there any way of achieving a line free solid please?

Thanks!

Dave
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