In many cases you need to use multiple databases to gather the data you need, for example ExecuComp for the compensation of the CEO and CompuStat North America for annual report data of a company. This means you’ll have at least two datasets.
When you use Excel, often the function Vlookup is very useful to merge the datasets. To use this function, make sure your datasets have at least one identifier in common, for example CUSIP or GVKey. In most cases you have to make a new identifier, based on a combination of the company and the year of the data. Before you start also think about how you want to merge the data, especially when the two datasets have different frequencies (for example one dataset has quarterly data and the other has yearly data).
How to use Vlookup in Excel and the preparations you have to take, is explained in this manual (a pdf-document).