You can merge documents with MS Word. Go to Tools -> Merge Documents ... and you will be prompted with an open window for which documents you wish to merge with the presently open document. You might need to set the type of file to any readable type of file.
Other than this, see
How to Merge Text (.Txt) Files in Command Prompt: 4 Steps
There's also this
Combine multiple files into one using Windows Command Prompt.