the instructor, selected all the faces and pressed 'F' which will merge them all into a single shape.
but with me, that single edge remains, which troubles the intrude of the shape, as the next step, every time i try the hotkey (I) it results into a weird shape.
what am i do wrong?
You might have double vertices, so select everything and M to merge by distance. Or you might have flipped normals, so select everything and Control + N to recalculate normals. If you want to visualize which face you have inverted, you can turn on Face Orientation on the overlays:
Omar is right, only nowadays, the Hotkey to re-calculate the Normals is SHIFT+N...It used to be CTRL+N, but it has changed...it's something you use all the time and it just becomes muscle memory and when someone asks, "what keys did you press?", you don't know...you'll have to re-enact the situation and look at what your fingers are doing..
Sorry for rambling, remember it's SHIFT+N.