Others may find this useful....
I am prepaing a medley of photos/images/video/music for demonstration.
I wished to join up many short NBTV files into one continuous one with added music of my choice so that it plays without any break on the CD player.
Audacity doesn't seem to have this facility to join files, but I have just downloaded Goldwave, and it does.
It's under tool/file merger.
One can choose the order the files they will be joined in and then finish up with one complete file. The music can be added to the other stereo track by pasting etc.
http://www.goldwave.com/