Sorry, at this time, it's not possible to put them all into one file.
Downloading PGN's

Rooperi, If you use linux you can do this very easily. Put all the files in one directory and type in
cat * > "allPGNs"
That puts all your pgn files into one file ready to be used.

I am sure you can do this, when you go to games archive you can select all games and download it, when you done that, you can put it in a zip file i think.

rooperi, I took the liberty to put all of your games into one file and save it on the net, here is the link for your file if you want.
www.codingunix.com/allGames.pgn
Sorry if this has maybe been asked before, I searched and couldn't find anything relevant. When I download PGN's in ZIP format, is it possible to make only one file containing all games, or will I always get lots of files with one game each?