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!
Basically, do this: Select the any brush you want.
Make a ladder-ish shaped thing.
Select it. Make sure it's highlighted.
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.