The leg hole sections are like tiny little sleeves. So their sides won't be joined together like the rest of the sweater. You'll need a separate skein of yarn for each section. If the sleeves are really short, you can pull yarn off one skein, cut it, and wind it into three little balls.
You'll use yarn from skein 1 on the first section, when you get to the end of the first row, just drop that yarn for now. Most likely there will be an expanse of knitting, possibly bound off stitches that you won't work right now. Move past them to where the next leg section is, pick up the yarn from skein 2 and start knitting that section. Do the same with the 3rd leg section. Then go back to the first skein, and knit the next row.
I hope that makes sense, I can see it in my head, but am not sure it translated well!
Trust the pattern, when you actually get to the spot where you need to work with three little skeins, hopefully it will make more sense because you can see it.