Modeling Issue with multiple (meshes?) -Seeking help

Hello to anyone reading this.
I have recently started using Blender to build models for a game called Team Fortress 2.
I have an issue regarding either texturing or modeling. Before I state this issue, I would like to point out that I am a new user of Blender, so please go easy on me.
Whenever I model a weapon, I seem to come across this problem extremely often.
If you can see this image, then you’ll notice in the smaller portions of the model there are hundreds of (meshes?) that just collide together in a poor attempt to close gaps.

The question I’m asking, is if there is a way to select all of these… things, and combine them all into one singular model, so that I don’t have thousands of them when texturing. I’ve already seen people pressing “w” then “merge” or “Ctrl + J” but none of these seem to work.
Thank you in advance.

in object mode, and wireframe display mode, use B to ‘box select’ all of it. then use ctrl J, then tab back in edit mode, and you may wish to select all and ‘remove doubles’ on the tool shelf.

I just opened my model and attempted to do that, but again it just told me “No mesh data to join”
Could I be doing something wrong?