A couple years ago, there was an icon (below the pathfinder tools) that appeared in the properties panel when you had multiple items selected - Make Compound Path. A subsequent update removed that tool from the properties panel. Release compound path is still available right there in the properties when the selected object happens to be a compound path. Some people suggest just using the pathfinder Union to make a compound path, but it's definitely not the same thing as making a compound path (pathfinder union on non-connected items makes a group, not a true compound path - they're not the same thing).