I'm trying to merge all my materials into one, so I select all my poly meshes then do Create > Poly Mesh > Merge. I then hit the merge button under Materials, UVs, VertexColors, WeightMaps and it tells me to pick...I click on my selections and it doesn't do anything, I try middle and right clicking and still nothing...what am I supposed to "pick" ?

I wasn't able to reproduce this pick session when merging the materials, the only way I was able to enter a pick session was when only one object was selected or no objects were selected before I clicked "Create>Poly.Mesh>Merge", other than that, i've never encountered a pick session during the material merge.
Can you post a screenshot of when this pick session begins, you can look at the bottom of the UI at the Status bar to see clues as to what you're supposed to be picking and it might help you/us understand what's going on.