Be on a call with the first person. Hit menu and then choose Conference. Dial the 3rd person's number. All 3 of you should be on the same call now.
Be aware that initially there was a software bug in the 8830's ability to do conference calling. The .66 release of the OS and prior had this issue. It's since been resolved in the newer releases, but if Bluegrass (who is that anyway, never heard of them and neither has RIM's support site for OS downloads for that matter) doesn't have the updated software on your phone that might be why you can't do it. Find out what release of software you have and then we'll take it from there.
I'm using a Sprint BlackBerry 8830 WE (SIM-unlocked by default from Sprint) in Bangladesh (Small country beside India) with a GSM operator. They don't have BIS, so I'm totally using the phone for voice & text. The problem is- I can't use conference calling, calls are not joined even if I click the conference call in the menu, while I'm on the first call. Also, when I'm on one call and get a second call with call waiting, the first call is disconnected. I used to do conference calling and use call waiting regularly on my NOKIA E63. I need help on this.
My OS: 4.2.2.196 (Platform 3.0.0.85).
Posted from my CrackBerry at wapforums.crackberry.com