Here's an easy way to combine two video files into one. I did this on Ubuntu, but this should work on most any distribution. First, you need mencoder if you don't already have it. In a terminal:

sudo apt-get install mencoder

After it installs, change to the directory that has the files you want to merge and execute the following command:

mencoder -forceidx -oac copy -ovc copy video01.avi video02.avi video03.avi -o merged_final.avi

In this example, I have three initial video files (video01.avi, video02.avi and video03.avi) and am merging them into one called merged_final.avi. The order you put the initial video files in is the order of the merge. You can name the final output file whatever you'd like e.g. combined.avi, thisvideo.avi, etc.