restoring registry backup

When I right-click on the .REG file, there is no "Merge" option to click on as described in the FAQ. It displays two options:

"Add to archive" and "Add to [filename.reg]." Which one do I click on? What is the difference between the two options?

Also, I had to clean the registry 3 times in a row to get everything, resulting in 3 back-up files. Do I merge all 3 backup files to restore the registry?