there is nothing you really need to do with azelf, uxie, and mersprit. you just need to see them to complete your pokedex.
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You cannot combine Pokémon.
to get a lv.1 mesprit you need to intter an cheat code.
go to sunnyshore city if u haven't yet
in platinum the different sprites are UXIE,MESPRIT and AZELF
When you catch dialga/palkia or defeat them, you can catch azelf and uxie in the lakes.Mespirit will flee so you gotta get a poketech radar to track it down.