Sometimes you can merge mpegs using copy in the DOS
command shell...
copy /b 1.mpg+2.mpg+3.mpg new.mpg
Use winzip. All u do is create a new achive, and add the files u want in order (but without any compression!!!) and change the file extension to mpg and wala u have a perfectly joined movie.
Use Mpg Merger to merge your movies. Though the program have a few bugs, it usually works perfectly. Rightclick and save target as.
Use a program called Camel's MPEGJoin. Its for free and available
right here
To merge avi movies use Avi Joiner. Rightclick and save target as.