how to merge wmv files (can Windows Media Stream Editor do that?)

[n.torrey.pines]

I'm recording a screencast on Windows with Windows Media Encoder.
However, I'll need to splice out part of it. I can use Windows Media
File Editor to create copies of the first and second part, but I'm
having difficulty merging the parts.

I don't want to use third-party freeware tools because of malware
concerns. On the other hand, I've heard that open-source tools like
mencoder (from mplayer) can ruin the quality and size.

Any advice? I tried using Windows Media Stream Editor: added both
fragments as sources, redirected to one output file, but this only
puts the first fragment there (perhaps I'm using the program
incorrectly?)

Thanks