How dos me do this thing?  =o

 Google Says:

W and 4

But not sure what the 4 is for.

And some complicated thing about ctrl + S.

There are two ways to "weld" vertices: Merge or Remove Doubles.

Merge will take 2 verts and basically make one out of them at a half-way point between the two.
Slow.

Remove Doubles will take selected adjacent verts and make them into one. How adjacent they are will decide how accurate this will work. Under Mesh Tools (after you press F9 in the button bar region) you will see a Limits toggle thingie: that decides how close verts have to be before they get made into one vert.

Try the second one (Remove Doubles) first... remember, you can always hit Ctrl Z and try Merge. Only, with Merge, it's vert pair by vert pair. As I said: Slow.

ETA: it would be either W -> 5 or W -> 6. That's in Blender 2.49b.

To weld to or more vertices together you can select the Vertices you wish to weld and then hit Alt-M. You will then be shown a list of alternatives as to how you wish to weld the vertices such as..
1, At First - This means that the vertices will be welded where the first selected vertice resides.
2, At Last - This means that the vertices will be welded where the last selected vertice resides.
3, At Centre - This means that they will be welded at the centre point between all of the selected vertices.
4, At cursor - This means that will be welded at the the position of the cursor.

Hope this helps

Ian...

W opens the Specials menu

5 is the Merge tool location in 2.49b Specials menu

3 is the Merge tool location in 2.5alpha2 Specials menu

Entering the Merge tool opens a sub-menu with merge location choices

Merge is good when precision is needed but as RobynsVeil said, slow.

Remove Doubles has a bug in 2.49b that can cause merging errors so always check after using that option.

 Cool. Thanks for the all the information, everyone.

Renderosity has saved me yet again. =)

I'm currently looking to go vert by vert so Alt-M sounds like the cleanest route. =D

 There is also an option to do Automerge editing under the Mesh menu in the header bar. Essentially, when extruding etc., if the extruded verts are within the set tolerance to others, when the mouse is released they will merge automagically.

Remember to turn it off though when duplicating. Although things will duplicate they will also re-merge themselves straight afterwards.

 Thanks for the tip, Touchwood. 

I was practicing making an entire body out of one cube, sans the head and hands, and when it got down to the wrists, one half of the arms  in that area are lower than the face on the other half (sort looks like the wrists have super hero claws). I wanted one flat faced surface when I go to add the hands for an easy bridge so thought I'd just drag and weld the verts on the longer part backwards.