Merging Textures

[X3n]

Hello,
I'm new to DX programming and I'm trying to make a GUI for a simple 2D game in DX9. I've followed tutorial on building a game display (http://directxtutorial.com/Tutorial9/D-GameDisplay/dx9D.aspx) using sprites. Now I have a question - how to merge 2 or more sprites, or better say their texures into one single texture? Sort of like merging layers in PhotoShop or blitting blocks of bitmap from one texture to another... I'd like to make transitional effects between 2 screens with different graphical elements (sprites and backgrounds) on them, use fade in/out etc., so I'd like to know how to merge em into single sprite to, for example, uniformly control their transparency (alpha blending).