How to combine camcorder video clips into one file?

I just bought a Sony Bloggie camcorder. New clips are made every time you turn the record button on. When I transfer them to my PC, I want to know if there is a way to combine these short, 30 - 45 second, clips into a larger file - "one that tells the whole story " say in 3-4 minutes. The manual you can download is all but useless and on importing files to the PC it tells you to follow the software instructions of which there are none. Very frustrating.