GIMP :: Unable To Merge Layers

Whenever I work with layers to try and achieve an effect I want, I have 2 or more layers. Then when I try to merge them to get the desired effect, "nothing happens!".

The other layers in the layers menu disappear and my picture remains unaltered, it's like whenever I draw in GIMP, all that editing is seen on my image, but when I try to merge my layers to get say, a glow effect, nothing happens to my image. It's like I didn't do anything. So frustrating!

Basically, what I do is this:

1. I create a new image.
2. I beginning stages of my image on whatever I want to do.
3. I create a new layer (or more than one, doesn't matter) to tinker around to try and achieve a certain effect (doesn't matter what effect I'm trying to achieve, always has the same results).
4. Then when I'm done tinkering around, I go to "Image--Merge Visible Layers"
5. Nothing happens. The multiple layers I had in the layers box vanish, but the effect I was trying to achieve is not merged with my image!

Layers are useless to me because I can't use them, yet I need them to achieve the things I need to have in my art. I am not looking for how to merge two images together in one, I want LAYERS not images.