how do you merge the files ?

Get hold of Virtualdub or something similar and use that, it's easy enough to do.

Joiners
 

I use two programs most of the time. Movie Joiner 4 which will merge uncompatible files converting them into one format and I use Boilsoft video Joiner which will merge only compatible files. I have also used Movica. All have trial versions or are free. I just don't remember which.

Have you tried Iriverter? Free and easy!
http://iriverter.sourceforge.net/download.shtml :)