How different is the formatting in each of the different documents? If
they're all based on the same template and identical style definitions,
there should not be any problem in combining them. You can combine them by
starting with a new document and using Insert - File (assuming Word 2003) at
each location where you want a given document to appear.
If the formatting uses different templates or differently define styles,
then it is a more difficult task. Word cannot have multiple templates
associated with any give document. One method would be to print the
documents out separately, taking care to start page numbering in successive
documents where the previous document left off (assuming you're using
headers or footers for numbering).
Another alternative, if you have Adobe Acrobat Professional (might work with
Standard, too... I don't know) would be to create distinct PDF documents for
each of the files, then use Acrobat to put the resulting .PDFs together.
There are other methods that could be used as well, depending on how
different the documents are and upon what other resources you have
available. As a general principle, however, whenever you plan to combine
different documents, you should use the same template for all of them and
not vary how any given style is defined within any of the documents. Normal
should always be used the identical way, as should the Heading styles,
bullet styles, etc. That makes putting things together easier.
Note that I have not suggested that you use Word's Master Document feature.
That's deliberate. The Master Document feature has a number of problems, and
is Word's own feature equivalent of Russian roulette. The question isn't IF
you'll end up with corrupted documents... only WHEN.