yeah I agree with Woogieman :)
VirtualDub is better and FREE.
What I thought to do in WMM was to combine those files and save it as AVI Uncompressed.
and now I will use Windows Media Encoder 9 with the DVD 1000K VBR for Video and CD 64K VBR for Audio to encode those files to the latest WMV format.
the Windows Media 9 Serious is hell quality keeping the file size small. :)