By the way, I believe MPEG headers cooperate with simply appending the
files to each other. Under UNIX or cygwin/bash you would do
cat 01.mpg 02.mpg 03.mpg 04.mpg ... > output.mpg
I think under DOS/Windows it's
copy /B 01.mpg+02.mpg+03.mpg output.mpg
Such joining works only if the mpegs are formatted EXACTLY alike. The
best way to seamlessly join video files is with a dedicated video
editor.
For wmv files, use Windows Moviemaker2 to open them adjacently on a
timeline and save the result. There will be a slight loss in quality
due to the reencoding.
For mpeg, you can multiplex them using TMPGenc. If they are not
formatted exactly alike you'll need to make appropriate adjustments to
one or more of the files to equalize them. Again, there will be a
slight loss in quality due to reencoding.
If you join video files any other way you'll likely see a noticeable
jump-cut at the point where they were crudely joined.