Linking audio/video files

Is there a relatively easy way for a computer non-expert such as myself to link together individual audio/video files into a single file? I have various formats like MPEG, Real Player (.ra), and something called Windows Audio/Video file (is this .wav?), but I just want to connect files with similar formats not cross between different ones.

MPEG files you can splice together easily with TMPEGEnc in the MPEG Tools section. VirtualDub does a pretty good job with Windows Audio/Video files (.avi). I think you’ll need Real Audio Pro to merge .ra files, but I’m not sure about that.