Hm, that's odd. Let's take this step by step. Prior to merging these two layers you should have 4 layers (Background, Trees, Trees Copy and Tree Frame), all of which should be visible. The Tree Frame layer should be the topmost layer, and the Trees Copy layer ought to be just beneath it. Did you select "Merge Down" on the topmost Tree Frame layer? If so, the Tree Frame layer should have merged with the Tree Copy layer, leaving you with 3 layers, the topmost being the newly merged Tree Copy layer. You mentioned that after merging you only see the 'noise' layer, is this the Trees layer or the Trees Copy layer that you are seeing? If the former, then somehow you lost the Trees Copy layer (if that layer still displays in your "Layers, Paths, Channels" dialogue check to make sure that you didn't accidentally click the "eye" icon off, thus rendering that layer invisible), I'm not exactly sure how this would have happened though unless you accidentally deleted the layer. If the latter, then, well I'm stumped. If you followed all the steps in the Tut then the newly merged Tree's Copy Layer ought to have a black border surrounding it. Hopefully something here was of use to you, if not I'm really not sure what is causing the problem.

Cheers,
-Arsheesh