I use a free program called MediaJoin. There are other free programs just as good. Google it, or search download.com, tucows, MajorGeeks, etc. (free download sites).

Some people break up very large files to make it faster to download, and/or to fit onto smaller disks.

I've never tried appending a file in the olde way (copy >>). I don't think it would work with AVIs and other file containers.