They're just text files. And text files can be concatenated in DOS (yes, that still works).
So open cmd, cd to the directory in which you have a bunch of PGN files, and type
copy *.pgn all.pgn
Now all your PGN files are combined into one file named all.pgn.
Magic!
Is there an easy interface to compile individual PGN files into one multiple game PGN File? I can use chessmaster to save multiple games as one PGN, but want to avoid actually importing hundreds of games into that program individually? I'm interested in creating some databases of GM play and don't want to go through the ctrl-I, select, enter, repeat process if it can be avoided.