I commend to you reading up on the various programs you are interested in, on the appropriate boards. Welcome to Flyertalk!

Continental miles may be able to be moved to Delta, but not without significant loss (like 40,000 Continental = 4,000 Delta). While they remain partners, however, you can redeem Continental miles for a Delta operated flight. Do some reading on the Continental board to see how to do this.

Continental and United are not merging. That is the only circumstance (I think) that your miles would commingle. So, if you have Northwest miles and Delta miles they will, in the very near future, commingle. So, no, Continental and United will remain their own programs, but you will be able to book travel on United with Continental miles and vice versa.