They are just plain text files. You could just open them one-by-one and append the text together in one file.
There are some utilities that do that too. If you look up concatenating files on your favorite search engine you can find some ways.
Also, v3 of the site will allow you to get more on a page at a time for download.
I am making a collection of particular games by downloading from this site. Problem is that it shows only 25 games in a page that I am being able to download in one PGN file. Thus I have a number of PGN files for a particular game type. Is there any way to merge these PGN databases into one big PGN database?
Thanks