There's also a free way to do it. I don't want to take the $20 out of David's mouth but ...

You can download a copy of PrimoPDF. its a freeware PDF creator. It installs itself as a printer driver so when you do a normal "file, print" from any windows application you can print to a PDF file. It will bring up a dialog that asks for a filename. There is an option button that says "if PDF exists do I", you can choose to append or replace.

So bring up the first PDF file in your adobe reader, or foxit or whatever. Go to the file menu, then print, then select the PrimoPDF printer. Then open the 2nd PDF file and print making sure that you set the option to append, continue on through the rest of the list of PDF files and it will keep appending onto the PDF file.