In order to combine shape, you have to select 2 or more layers, and they must all be "Paths".
You can select the objects on the canvas (dragging the black arrow over them), or SHIFT-click to select them in the Layers panel.
If you have a rectangle, then you’ll have to Ungroup it first (under the MODIFY menu) to make it a path... otherwise you’ll get this error message).
Go to Modify>Combine Paths>… and choose an option.
Here you can see what happens with the circle and square...
Here's an example of a the following shapes combined: rounded rectangle, circle, triangle, square...