First of all... I have never made a ladder with three parts, and I have never had trouble being able to walk through them. So there's that.
The other thing is if you're given that message about it already being tied to an entity... I just delete it and make a new one. This is because you run the risk of ruining it, and I don't mess with that. Like Killer Duck said, after you've selected an object and hit "Control-T" and have tied it to an entity, the only safe way to mess with it after that is to select it and hit "Alt-Enter." When in doubt, ALWAYS do "Alt-Enter" so as not to run the risk of messing it up!
So yeah.
Basically, do this: Select the any brush you want.
Make a ladder-ish shaped thing.
Select it. Make sure it's highlighted.
Hit "Control-T".
Select "func_ladder."
Close the box.
Save it, export it, compile it, play it.
If you can't climb it, then maybe you need to hire someone to help.
:-)
-Brandon