So far, I have tried this command successfully with wmv and mpg files.
To join several video files [part1], [part2], etc into a file called [whole], run the following command:
mencoder -oac copy -ovc copy -o [whole] [part1] [part2] ... [partn]
If the parts are listed in the correct order when you run ls -l [part]*, you don't have to list all parts when you call mencoder:
mencoder -oac copy -ovc copy -o [whole] [part]*
Reference: Join wmv files?