In Audacity I open one file, import the rest.
- Highlight the second piece, hit Control-C for copy (I'm sure there are other options to copy too).
- click your mouse out past the end of piece 1, Control-V for paste.... wait a moment.
- repeat for pieces 3, 4, 5 if necessary.
- hit the X on the left of pieces 2,3,4, etc, you don't need them any more.
- File -> Export as one big piece. On XP I am able to save large files (over 2gb). I've never tried anything bigger than 4gb I don't think.