Actually quite a few softwares can do that. You may want to try Nero or DVDSanta. DVDSanta is simpler, just click and paste. But with Nero, you can do more editing, like creating a menu etc..
Can you join them with out placing them on a disk with nero? i wanted to join them for computer use only..
Without having to download shareware like All Convert, etc., if you already have Windows Movie Maker installed, all you do is drag the clips and drop them into the boxes to make one continous wmv. http://www.microsoft.com/windowsxp/downloads/updates/moviemaker2.mspx