Hi Billy,

-LAYMRG command has two stages: at first it asks to specify layer you want to merge (you can select more then one layer), then you need to hit Return and AutoCAD will ask for the target layer, after you specify target layer, AutoCAD asks "Do you wish to continue?" and you have to select "Yes" option:

Command: -LAYMRG
Select object on layer to merge or [Name]
Selected layers: WALL.
Select object on layer to merge or [Name/Undo] <-- here you hit Return
Select object on target layer to merge or [Name]:
You are about to merge layer "WALL" into layer "WIN"
Do you wish to continue?[Yes/No]Y
Command:

I also want to warn that there is a bug in AutoCAD for Mac which prevents -LAYMRG command from working correctly with objects inside blocks (it doesn't merge layers inside blocks correctly producing errors in the drawing database, which you can repair only with AUDIT command).