All cameras that have the ability to shoot RAW (e.g. CR2, NEF, PEF, etc...) can also be set up to shoot JPEGs. These cameras usually have the ability to save the image as both a RAW & JPEG file at the same time.
What has probably happened is that you've taken some shots as JPEGs and some as RAW CR2 files. Or, You've taken some of the CR2 files, processed them and saved those edited images as JPEGs and now you are trying to merge those new JPEGs with some of the other CR2 files. You need to convert your CR2 files to JPEGs and then merge the two files. Or use the CR2 versions of the JPEGs. However you do it, all of the images must of the same file type. Right click on the image and choose properties. This will open a dialog box showing you the file type.
When you say "merge," are you saying you want to make a composite of the two, or more, files?