Connect a separate MIDI cable to the "MIDI Out" port of each MIDI device you wish to merge.
Connect the cable from each device's MIDI Out to a "MIDI In" port on the MIDI merge box.
Connect a cable to the merge box's "MIDI Out" ports. Depending on how many devices you wish to send the signal to, you may only need one cable.
Connect the cable from the "MIDI Out" of the merge box to the "MIDI In" of the destination device. The destination device will receive all MIDI data from your devices as if it were coming from one device.