A spline can consist of several unconnected segments (a text spline is a good example of this). If you want to connect two of these segments, select one or more points of each segment and use the Join Segment command. The start points of each spline are joined to the end points of the other spline. If you directly select the end points of the two segments, however, these are also joined. If these end points have the same position, one of them will be deleted when joining.
You can join either two or all segments at the same time. If more than two segments are selected then only the first two are joined. If no points are selected, all segments of a spline are joined.