Good point roho. I assumed the same file type, which is why I suggested the joiner app. One could probably do it the long way buy using a hex editor, finding the header etc, which a program could made - which there are
Moviemaker, and other applications will convert the content imported to a new file format, and that is great, but it can take quite a while with large files, to not only import, by export as well depending on your processing power etc.
For simple little small files of the same format, it is a snap and requires no long reprocessing. For incompatible formats, moviemaker (as devlish has posted) works fine. If you are doing this for a job, or professionally etc. I would check out what programs fits what you need(ie diff format, length, quality needed, output needed)...the sites Microbell posted look like a great place for info and to jump to other resources.
chalk