how to merge chapter (with endnotes) and Figure/Table/Equation numbering

For the first problem, after merging the three chapters, on the References tab, in the Footnotes group, click the dialog launcher (the small arrow in the bottom right corner). This will open the Footnote and Endnote dialog. Select the radio button for "Endnotes" and change the setting from "End of document" to "End of section."

Important Note: This will work only if each chapter is a single section. If a chapter contains more than one section, you can still have the endnotes at the end of the chapter (by checking the box for "Suppress endnotes" on the Layout tab of Page Setup for each section before the last section in the chapter), but you will not be able to restart note numbering for the chapter; it must either be continuous or restarted in each section, and there is no way around this.

In order to include the chapter number in the numbers of your table, figure, and equation captions, the chapter number must be the number of an autonumbered paragraph in one of the built-in heading styles. So if you have used, say, Heading 1 for your chapter titles and have applied auto numbering (or multilevel list numbering), then you're set. In the Caption dialog (References | Captions | Insert Caption), click Numbering... In the Caption Numbering dialog, check the box for "Include chapter number" and select the heading style that will provide the number. Then click OK to close the Caption Numbering dialog and Close to close the Caption dialog.

Dear Suzanne,

thank you for your fast and competent answer: all was ok. I have just a problem now:

Each chapter has a coherent numbering: e.g., I used Heading 1 for the Chapter Title, Heading 2 (formatted as 1.0) for paragraph 1, Heading 3 (formatted as 1.1) for paragraph 2 and so on; for Chapter 2 I re-defined the heading with the numbering 2.0, 2.1, 2.2 ans so on ... and the same for Chapter 3 to have 3.0, 3.1, 3.2 and so on

when I merge all ... I can unfortunately use just ONE formatting set of heading so ...at the start of each  Chapter is start as 2.0, 2.1, 2.2 ... how to do???

You'll need to link your heading styles to a new multilevel list (see http://www.shaunakelly.com/word/numbering/numbering20072010.html for a clear discussion of setting up multilevel lists). Here's how to go about it:

1. Place the insertion point in the first Heading 1 paragraph.
2. In the Multilevel List gallery, select the list that has 1 Heading 1, 1.1 Heading 2, 1.1.1 Heading 3. This list is automatically linked to the heading styles.
3. Open the gallery again and choose Define New Multilevel List (despite the wording, this is what you have to use to modify or customize the list).
4. In the Define New Multilevel List dialog, click on More>> to expand the dialog.
5. With Level 1 selected, click on Font... and check the box for "Hidden." Click OK.
6. Under "Follow number with," select "Nothing."
7. Make any desired changes in the indents and tab stops in any of the levels, then click OK to close.

From your description I'm afraid you may be applying different heading styles to paragraphs at the same level. In case I have not misunderstood you, note that a given heading level should be used for all paragraphs at the same level, for this sort of outline:

Heading 1 Chapter 1 Title

1.1 Heading 2

1.1.1 Heading 3 (these don't actually have to be headings; you could apply this numbering to Body Text)

1.1.2 Heading 3

1.1.3 Heading 3

1.2. Heading 2

1.2.1 Heading 3

1.2.2 Heading 3

Heading 1 Chapter 2 Title

2.1 Heading 2

2.1.1 Heading 3

2.1.2 Heading 3

2.2 Heading 2