Final Fantasy VII: Crisis Core  

To break the HP Limit, you need to get an item called Adaman Bangle. You can get it when you finish mission 7-3-6 or find it in a treasure chest in mission 9-2-4. Or alternatively, you can get an item called Genji Armor. Not only it breaks your HP Limit to 99999, it also gives you Auto-Regen and Auto-Endurance. To get it, you must achieve a 100% DMW Limit.

Materia fusion is kinda hard to explain. In any case, you can actually preview the item of your fusion before you actually fused them up. So perhaps that can you help you. It will be best to fuse a materia to get you +999% to your HP. It's not easy to pump up your HP to 99999 even if you have the HP break limit item. To archive it, you need to do fusion. Here's a tip:

Prepare:
2 Fire Materia LV1 (buyable)
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Basic Materia for Fusion:
Slot-1 (Materia)= Fire LV1
Slot-2 (Materia)= Fire LV1
Slot-3 (Item)= +95 (green) Magic booster item.
It will change Fire LV1 +20 magic/+19 magic, don't bother it.

Use the same method to earn 99 Magic Booster item then fuse:
Slot-1 (Materia) = Fire LV1
Slot-2 (Materia) = Fire LV1
Slot-3 (Item) = +95 (green) Magic Booster item. It'll become Fire LV1 +20 magic/ 19 magic, don't bother it.

Use the same method to earn 99 Magic Booster item then fuse:
Slot-1 (Materia) = Fire LV1 +20
Slot-2 (Materia) = Fire LV1 +20
Slot-3 (Item) = +95 (green) Magic Booster item.
It'll become Fire LV1 +40 magic (this is the highest.)
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Then, back to basic Materia method until you get Fire LV1 +40. Stock it as many as you can.
After this:
For example, you want to get Curaga +999%HP.
Curaga [master] + Fire LV1 + 40 = Curaga with +20.
Combine it until you get Curaga +100 magic.
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Then,
If you want to make +999%HP on Curaga:
Slot-1 (Materia)= Curaga +100 magic
Slot-2 (Materia)= Fire LV1
Slot-3 (Item)= Fat Chocobo Feather
It'll become Curaga +999% HP

I have finished the game already, anyways materia fusion is kinda hard to explain. All I can say is that, it is a trial and error thing. Save your game and try different combinations...