While primarily a player, it has a "Convert/Save" feature for merging. Note that it works best when all videos share identical formats, resolutions, and frame rates.
Depending on your skill level and operating system, you can choose from these popular options: merge vcmp4
Tools like VLC or simple joiners may fail if the videos have different resolutions or codecs. In such cases, a full video editor like Microsoft Clipchamp or Adobe Express is better. While primarily a player, it has a "Convert/Save"