It is not a simple thing to merge MP3 files because they have header information at the beginning of each file before the actual content. So, in theory you can't just merge them together without writing a single header for the new merged file. However, many MP3 players will still read the files okay even though there are multiple headers (all but one mixed where the content should be). This hack exploits this robust implementation of MP3 players.
WARNING: This is most definitely a hack and does not always work because it is technically not correct. However, in a pinch it can work (sometimes). Do not trash your original files unless you don't mind losing the data.
Here is the very simple DOS command for merging multiple MP3 files into one MP3 file (that will likely play on most MP3 players, but is technically not correctly formatted so it will not play on all MP3 players).
copy /b *.mp3 output.mp3