You can start a 3-way conference call from most Grandstream phones by simply pressing the conference button on your phone when it is time to bring in the third party. (The button has an icon that looks like three people on it.)
Once you have pressed the conference button it will bring up the conference dialing screen. From there, dial the third party number and press send! As soon as you have the third party on the line you can then press the Conf/Call softkey to initiate the 3-way conference!