Load the First project - this would be the one you want to play first in the movie. You then open the second project... this will prompt a dialog window asking if you want to close the first project or add the second; here you add and now you have the first and second project. Just do the same for the third.
I suggest here you SAVE PROJECT AS, and give it a new name. This way you can always further edit maybe you want a intro title and credits and such... and you will not ruin the separate projects.
You have to make sure you have not selected any of the projects... in timeline mode, if you see anything that is highlighted, left click in a empty track space, this should de-select that object, therefore when you go to "File" - "Save Project As" you can give it a new name, and it will save the three parts into one new project...
At least that is how things are working for Movie Edit Pro 16.