Open the Terminal, cd to the folder containing your video files and run this command:
mencoder -ovc copy -oac copy -o output.avi file1.avi file2.avi file3.avi
Replace "file1.avi file2.avi file3.avi" with names of your video files. You can also rename the output file (output.avi) with any name of your choice. The joined videos will be saved in one video in the current folder.