Heap - Give an $O(n \lg k)$ time algorithm to merge $k$ sorted lists into one sorted list
The purpose of the heap is to give you the minimum, so I'm not sure what the purpose of this for-loop is - for j := 2 to k.

My take on the pseudo-code:

lists[k][?]      // input lists
c = 0            // index in result
result[n]        // output
heap[k]          // stores index and applicable list and uses list value for comparison
                 // if i is the index and k is the list
                 //   it has functions - insert(i, k) and deleteMin() which returns i,k
                 // the reason we use the index and the list, rather than just the value
                 //   is so that we can get the successor of any value

// populate the initial heap
for i = 1:k                   // runs O(k) times
  heap.insert(0, k)           // O(log k)

// keep doing this - delete the minimum, insert the next value from that list into the heap
while !heap.empty()           // runs O(n) times
  i,k = heap.deleteMin();     // O(log k)
  result[c++] = lists[k][i]
  i++
  if (i &lt; lists[k].length)    // insert only if not end-of-list
    heap.insert(i, k)         // O(log k)


The total time complexity is thus $O(k * \log k + n * 2 \log k) = O(n \log k)$

You can also, instead of deleteMin and insert, have a getMin ($O(1)$) and an incrementIndex ($O(\log k)$), which will reduce the constant factor, but not the complexity.

Example:
(using value rather than index and list index and heap represented as a sorted array for clarity)

Input: [1, 10, 15], [4, 5, 6], [7, 8, 9]

Initial heap: [1, 4, 7]

Delete 1, insert 10
Result: [1]
Heap: [4, 7, 10]

Delete 4, insert 5
Result: [1, 4]
Heap: [5, 7, 10]

Delete 5, insert 6
Result: [1, 4, 5]
Heap: [6, 7, 10]

Delete 6, insert nothing
Result: [1, 4, 5, 6]
Heap: [7, 10]

Delete 7, insert 8
Result: [1, 4, 5, 6, 7]
Heap: [8, 10]

Delete 8, insert 9
Result: [1, 4, 5, 6, 7, 8]
Heap: [9, 10]

Delete 9, insert nothing
Result: [1, 4, 5, 6, 7, 8, 9]
Heap: [10]

Delete 10, insert 15
Result: [1, 4, 5, 6, 7, 8, 9, 10]
Heap: [15]

Delete 15, insert nothing
Result: [1, 4, 5, 6, 7, 8, 9, 10, 15]
Heap: []

Done