The merging of multiple accounts is achieved by logging in to the third party account, and then the Skype beta client will ask for the user's Skype account details. This process must be repeated for both Messenger and Facebook accounts.
Once merged users can use Skype to send instant messages to contacts on all three networks. This has been possible for a while with Facebook chat. However, the same can now be done with Windows Messenger, plus users can log into Skype with any of the linked account credentials.
Unfortunately for mobile users, the addition of contacts from these networks do not synchronize over to mobile clients.
The update includes a litany of other performance and bug fixes, and you can download it from here.