From Step 1, your Apex Class should look like this:

public class OpportunityCMController { 
private final static String urlFieldName = 'Conductor__c';
private String partnerServerUrl;
private ApexPages.StandardSetController controller;
private List<String> opportunityIds = new List<Id>();

public String CMUrl {get; private set;}

public OpportunityCMController(ApexPages.StandardSetController controller) {
this.controller = controller;

for (Opportunity opportunity : (List<Opportunity>)controller.getSelected()){
opportunityIds.add(opportunity.Id);
}

partnerServerUrl = 'https://'+ApexPages.currentPage().getHeaders().get('Host')+'/services/Soap/u/26.0/'+UserInfo.getOrganizationId();
}

public PageReference prepareCMUrl() {
CMUrl = 'https://composer.congamerge.com' + 
'?SessionId=' + UserInfo.getSessionID() +
'&ServerUrl=' + partnerServerUrl +
'&Id=' + UserInfo.getUserId() +
'&QueryId=[Opps]a0346000009N2DH?pv0=' + '\''+ String.join(new List<String>(opportunityIds),'\'|\'')+'\'';


return null;
}
}

And now the Visualforce Page should look like this:

<apex:page standardController="Opportunity" extensions="OpportunityCMController" recordSetVar="opportunities" action="{!prepareCMUrl}">
<apex:outputPanel id="script">
<script type="text/javascript">
window.open("{!CMUrl}","_blank","width=640,height=480");
window.history.back();
</script>
</apex:outputPanel>
</apex:page>

The Test Apex Class (if deploying in Production) should look like this:

/**
* @description Test Class for the OpportunityCMController Class
*/
@isTest
public with sharing class OpportunityCMControllerTest {
    /**
    * @description setup - test data setup method
    */
    @testSetup
    public static void setup(){
        List<Account> testAccounts = new List<Account>();
        List<Opportunity> testOpps = new List<Opportunity>();
/**** Test Account record creation ****/
/**** Fields shown here are required for a Salesforce Developer Org ****/
/**** Requires updates for any required fields you may have ****/
        Account a = new Account();
            a.Name = 'ABC Company, Inc.';
            a.BillingState = 'CO';
            a.NumberOfLocations__c = 1;
                testAccounts.add(a);
        Account acct = new Account();
            acct.BillingState = 'OR';
            acct.NumberOfLocations__c = 2;        
            acct.Name = 'XYZ Company, Inc.';
                testAccounts.add(acct);
/**** end test account records ****/
/**** Test Opportuinity record creation ****/
/**** Fields shown here are required for a Salesforce Developer Org ****/
/**** Requires updates for any required fields you may have ****/
        Opportunity opp1 = new Opportunity();
          opp1.Name = 'Test Opp 1';
          opp1.CloseDate = Date.newInstance(2020, 01, 01); 
          opp1.StageName = 'Negotiating';
          opp1.Amount = 1;
          opp1.AccountId = a.Id;
            testOpps.add(opp1);
        Opportunity opp2 = new Opportunity();
          opp2.Name = 'Test Opp 21';
          opp2.CloseDate = Date.newInstance(2020, 02, 02); 
          opp2.StageName = 'Negotiating';
          opp2.Amount = 2;
          opp2.AccountId = a.Id;
            testOpps.add(opp2);            
/**** end test Opportuinity records ****/
/**** Insert the Test Records ****/
        insert testAccounts;
        insert testOpps;
    }
    /**
    * @description testMethod1 - Test Happy Path of code
    */
    public static testMethod void testMethod1() {
        List<sObject> opps = (List<Opportunity>)[Select ID From Opportunity LIMIT 2];
          System.debug('********************* opps: ' + opps);
        ApexPages.StandardSetController ssc = new ApexPages.StandardSetController(opps);
          ssc.setSelected(opps);
        OpportunityCMController ocmc = new OpportunityCMController(ssc);
          ocmc.prepareCMUrl();
/**** Actually run the test ****/
/**** 100% coverage based upon "OpportunityCMController" Class provided on Conga's Support Site ****/
        Test.startTest();
          PageReference pr = ocmc.prepareCMUrl();
        Test.stopTest();
    }  
}

Sample Query Dataset referenced in the Apex Class controlled:

select name, amount, stagename from opportunity where id IN ({pv0})