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The Pathfinder does work, but I'm wondering if InDesign is known for being less flexible in creating and combining the path of one shape with another.
In Illustrator, for example, I can combine a rectangle and the negative space of one quarter of a circle (the area outside the circle), by deleting the other three-quarters and then cutting a gap in the corner of the rectangle and combining the end points. Much easier just to do than explain, but you can see the shapes here, which are merely sitting on top of one another:
I can't seem to combine them in InDesign as I get the error message 'Cannot convert a closed line to a path', but it is very simple to do in Illustrator.
The Connection and Join options for paths are a little confusing.
InDesign CS3 does have a command that will connect the endpoints of two separate open paths, but it is a hidden command.
Go into the Edit > Keyboard Shortcuts.
Go to the Object Menu area and find Paths: Connect. This will create a line that connects any two open paths.
Then assign a keystroke to the command.
You can also assign a keystroke to Paths: Join. This will merge two endpoints into a single point and join the paths. However, the points have to be less than 6 pts from each other.
Fortunately, ID CS4, the Join command does the work of both Connect and Join in CS3. And the command is not hidden. It is visible under Object > Paths > Join.
However, you need to remember that InDesign is not an illustration tool. It is for page layout. Very sophisticated illustration commands such as Join, Average, and other path actions are not expected in InDesign.