There are a couple of optiions. You can bring each piece into the modeling room separate, copy each one and paste them together. For example, open piece one, type ctrl-a to select all, ctrl c to copy it. Then open up piece 2, and paste piece 1 in with it. D the same for the third piece. There is another option which is to select two pieces and do a Boolean addition but be careful when you do that. You can then perform a second Boolean join to get tthe third piece in. So there's a couple of options for you.

-Kix