There are programs that can do this. I'm not in the know how to do this in windows. Check the bottom of this 1st post CODECs list and alternate players for Movies (see 'Other video questions') BTW the Video forum is a great place to check out for these types of questions. I think what you're looking for is a "video Joiner"

Here's some examples http://www.videohelp.com/tools?tools...uthorfeatures=

http://www.freedownloadmanager.org/d...mpeg_software/

http://www.timelyweb.com/free/MergeMPEG.html

http://www.mymusictools.com/download/merge/

BTW if you intend to burn these to a dvd or vcd, then it's not necessary to merge them depending on the software you're using to burn with.