First, I want to mention something (rant) about the explode command.
Back to joining objects.
In the following video I demonstrate two different methods for joining lines and arcs to create polylines.
One more comment on the Polyline Edit command. If you prefer to use this method for joining lines and arcs, here is a tip to shorten the process. It always bugged me that AutoCAD asks "Object selected is not a polyline, do you want to turn it into one?" Of course I want to turn it into one! I have literally never said no to that question. Okay, once to see what would happen; it just ends the command having done nothing. To bypass this question type in the variable PEDITACCEPT and set the value to 1. Essentially you are saying that you accept turning the object into a polyline. You will never be asked that silly question again!