The point of it
You might want to merge 2 word lists (or concordances, mutual information lists etc.) with each other if making each one takes ages or if you are gradually building up a master word list or concordance based on a number of separate genres or text-types.
How to do it
With one word-list (or concordance) opened, choose File | Merge with and select another.
Be aware that...
Making a merged word list implies that each set of source texts was different. If you choose to merge 2 word lists both of which contained information about the same text file, WordSmith will do as you ask even though the information about the number of occurrences and of texts in which each word-type was found is (presumably) inaccurate.
Merging a list in English with another in Spanish: if you start with the one in Spanish, the one in English will be merged in and henceforth treated as if it were Spanish, eg. in sort order. Presumably if you try to merge one in English with one in Arabic (I've never tried) you should see all the forms but you would get different results merging the Arabic one into the English one (all the Arabic words would be treated as if they were English).