Two ways:
1) via terminal
you can use this code
mkvmerge -o outfile.mkv infile_01.mp4 \+ infile_02.mp4 \+ infile_03.mp4
2) graphically
by using f.e. Avidemux:
- open the first video file
- go to the end of that file
- append the second, and go to the end
- then append all other possible video files
- if you plan to merge several video (such as several films), you can queue instead of save (immediately) the files