Extract from a linestring layer, groups of linestrings to a multilinestring objects layer

I've got a linestring layer with thousands of linestrings. I want to extract groups of linestrings to individual multilinestring objects.

In the following picture you can see part of the layer with a lot of linestrings. Each object inside the red circles are composed a many linestrings (different records in the layer) and i want to obtain a layer with one unique multilinestring record for each object in the red circle.

Ok, I assume that i will have to control+select the linestrings that compose one object and do something to convert it to a multinestring record and add it to the new multilinestring layer but i can't see how to do this in QGIS.

I a openned to use a different software if there is not a solution to this in QGIS. I also use AutoCAD Map.

Regards,