as i wrote in a previous posting xolox joined all temporary xlx-files by itself to one big xlx-file. i simply stopped xolox before it could drop a segment.
if you want to join these files by yourself than you have to type the following command at the command prompt: "copy XXX.xlx /b + YYY.xlx /b + ZZZ.xlx /b + ...". whereas XXX, YYY, ZZZ, ... stand for the temporary xlx-filenames.
anyway, i don't advise you to do it manually because Sorcy wrote in a previous posting that the segments are slightly bigger than necessary. so you have additional data between the real video data. maybe it fairly works with mpeg files but with avi files you will get trouble. the only possibility is virtual dub: load your joined avi with extended option "re-derive keyframe flags" and save it to another file.
you could also try to force xolox to not drop segments by unchecking "drop and retry incorrect downloaded parts".

yes, maybe this guy simply forgot that the americans aren't alone on this planet ... sad but true

cheers - christian