To group objects:
- Select all the objects with the Selection Tool
- Go to Object > Group.
Now if you click on any of the objects of that group with the Selection Tool, you will see that InDesign will select them all at once and will treat them as one object. So if you had three objects in the group, instead of seeing three bounding boxes, you will see one bounding box around them all.
If you want to move or modify all of the objects in your group together, select them with the Selection Tool, if you want to move or modify only one object within the group select it with the Direct Selection tool.

