You have to give GerbMerge a configuration file and layout file. Read the [Running GerbMerge section of the documentation. A sample configuration file should have been installed in the C:\Python24\gerbmerge directory.
I think the thing you are missing is you need to go start/run/cmd (or command on win98/ME). Then type the python startup line.
gerbmerge has several files that you edit and the gerbmerge program reads it’s commands from them. There is a pretty simple example in the gerbmerge documentation.
It may look intimidating but it turns out to be incredibly easy. just start with the samples and it will become obvious to you. I haven’t used it in a while but if you are still having trouble post back here and I’ll get back up to speed.