In Windows Explorer you can enable the file extension (Google for how).
However, the ONLY thing that makes sense to me would be merging VIDEO files. For that, there's a program called MKVMERGE which works quite will though the first time it's a bit tricky as you use the "APPEND" feature. You can find a HELP file likely though.
The program's main feature is merging video, audio, and subtitles together which is a separate thing.