I got three layers and want to group them. I can only select one layer at a time.

I click on group command and it doesn't group anything.

You can't group layers, but you can make a layer a sublayer of another, essentially putting it in that group. I only know of how to do this through the xml editor (edit menu), if you are not familiar with it this is as good an intro as any. Please work on a copy of your file!
Simply select the layer(s) you want to put in a group and indent them. (Small right pointing arrow in the control bar of the xml editor) Note that one layer MUST remain unindented, to contain the others. Also this layer MUST be before the others in the file. Also there must not be any other layers in between.
But all this seems pretty logical, I am sure. Good luck!

From another topic (viewtopic.php?f=5&t=10400), I think TomBrooklyn might be talking about grouping objects (in z-order). If I'm correct, this is how.

Using the Selection tool, click on each object, while holding the Shift key. If they are all stacked up (like in the icon in the other topic) you can use the so-called "rubberband" selection, or selection box technique. Using the Selection tool, click and drag until the dotted line box surrounds all the objects. Since the one object in your icon is much larger, you'll have to draw the box large enough to capture the portions that you can't see. If there is nothing else on the canvas, you could also do Ctrl + A, which means select all.

(If you need help selecting the 2 objects from my instructions in the other topic, before doing the Clip, just reply to that topic, and I or someone will help )

EDIT
druban, you can make a layer a sublayer of another from the interface. It's in the dropdown menu in the Add Layer dialog.

brynn wrote:EDIT
druban, you can make a layer a sublayer of another from the interface. It's in the dropdown menu in the Add Layer dialog.

But you cannot move an existing top-level layer as sub-layer into another existing top-level layer (which is what druban described).