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A ligature is one typographical character which combines two letters which are usually separate characters.
Here at DP, if the ligature is available in the Basic Latin character set, we usually proof it that way. For example, the "ae" ligature is normally proofed as the "æ" or "Æ" character, as appropriate.
Most other ligatures are proofed as their component characters with no special markup, but if a particular ligature will be seen frequently in a given project, the PM will usually have addressed the issue specifically in the Project Comments.
For more information related specifically to æ and œ, including how to distinguish between the two in italics fonts, see æ and œ ligatures.