you go to all the caves in sinnoh (volar azelf acuity uxie and verity mespirt) and you will see them. battle them a try to catch them .But when you talk to Mespirt he will disappear .he will be roaming around sinnoh.
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you need azelf,uxie,mesprit to open the cave after beating the Pokemon league
You can't, you will need to trade them from Pokemon Diamond, Pearl or Platinum.
azelf is at lake valor after freeing it mesprit is at lake verity after freeing it and uxie is at lake accuity after freeing it (i cant believe that i still remember this even though i lost pearl 3 years ago ant still cant find it)
You cannot combine Pokémon.
there is nothing you really need to do with azelf, uxie, and mersprit. you just need to see them to complete your pokedex.