The sections of a road that are marked off by lines are called "lanes". Some roads are "two-lane roads", with each lane going in the opposite direction. Other roads are four or more lanes.
When you're driving forward, and you move your car from one lane to another lane going in the same direction, you're "merging into" the new lane. For example, on a four-lane road, you might need to merge into another lane in order to pass a car that's going slowly in front of you.
You also "merge into" a lane when the one that you're driving in ends.
Here are some examples of using "merge":
Road ends 500 feet; merge left (Seen on a road sign)
I get nervous when I have to merge onto the highway from the ramp and everyone's driving a lot faster than me.