Hello !
Watch his right leg (I have not made the left yet).
It consists of 3 spheres, that were elongated along the Y axis. The left and right spheres are children to the middle, for easier manipulation.
However I would prefer to merge them into one mesh, is this possible ? 
Yup, in object mode, select all three spheres (Shift+Right Click) and press Ctrl+J so you have one object. 
Thank you !
I wonder where in the menus can this Ctrl+J be found, because I tried before and after your suggestion and could not find it.
Does anybody know ?
Ctrl+J is a keyboard shortcut, not a name of a function.
The name of the function is called “Join”
I wonder where in the menus can this Ctrl+J be found, because I tried before and after your suggestion and could not find it.
Does anybody know ?
Its in the Object / Join Objects menu entry from the 3dview header while in object mode http://wiki.blender.org/index.php/Doc:2.5/Manual/Modeling/Objects#Join_Objects