Open your obj file. Select all the loose parts, and make sure one of them is the “active object”, how do you know this? because it should be outlined in a brighter shade of pink than the other objects(or in pink rather than magenta, I dunno). If you shift select each object separately, then the last object selected should be the active one. If you box select them all, chances are none of the selected objects is “active”, in which case you just shift+rightclick the object you want to be active, keeping in mind that the objects “center” will be now the center of all your model.
After this, press Ctrl+J. This joins all selected objects WITH the active object(that’s why you need one of the selected objects to be active). Still, faces that were adjacent, belonging to different objects, are still just “adjacent” and not welded together. That is to say, they don’t share any vertices. To fix that(if you want to), you must select all your vertices(pressing A once or twice is the fastest way to do it) and then press W to summon the “specials” menu and select “Remove Doubles”. This merges vertices sharing the same(or very close) space.
That should be it. If you get the hang of it, it shouldn’t take you more than a minute.