Hi Chris,
I think you are looking too hard for the answer. Once you have inserted all the videos into the timeline below, they will be merged into 1 video file when you create the output file. (Produce) That is the purpose of PD.
I would suggest you go though the help topics to learn more about creating a movie. (editing & adding effects etc) as it will take you through all the steps.
Regards,
Peter B.