You can also use $1, which is a free and open-source command line tool for manipulating audio. Since you just want to concatenate the files you can do so by passing all of them as command line arguments, with the last argument being the destination file. The problem is that, if you're using cmd as a shell, you'll have issues enumerating all those files since cmd doesn't do wildcard expansion like unix shells do. This limitation can probably worked around using a batch script or similar, but since I don't have access to Windows I cannot help with that.

if they're MP3, just use a binary copy in a command prompt:
copy /b file1.mp3 + file2.mp3 ... output.mp3.
mp3 files can just merge if they share samplerate etc.

Are they text or audio files? If they are text, you can just combine them by pasting each one in to a new file. I have never had to combine audio files, so I can't help you there.