Just parking this here for future reference. I use a video application that records in Transport Stream (.ts) format. Since this application is recording to a FAT-formatted SD card, every time it hits the 4gb file size limit, it creates a second file and so on.
I had been using a separate program to combine the multiple files into one, but it turns out this can be done entirely from the command line in Windows, like this:
copy /b *.ts Video.ts