if its vcd format *.dat files i normally use VcdGear350 (TMpeg oso can) to convert them into mpeg files then can join all 4 mpegs using TMPeg as explained earlier by Dex, unless u want to make it smaller i.e. compress in into avi DivX then i'll use VirtualDub
for more detailed explaination u can try the links posted in this thread

p/s: most of the stuff i learn was from doom9.org

any decent sound editing software will do
btw im using Sony Soundforge

checkout ASF Tools - able to manipulate ASF and WMV files and try out this link as well abcAvi Tag Editor - change what you've always wanted to change in an AVI AsfTools
cheers~