Rofl!
Paul, Virtual Dub can do it.. I read in your other thread that you've already got it and used it for deleting some frames.. well you can also use it to join AVI's together.
Just open the first avi, then go file->append avi segment (or something like that), and choose the other avi's.. when you open it, it will say something like "open 5 segments".. my memory fails me.
Then just file -> Save as and away you go..
You can also use
"Bink and Smacker", which is what I use most of the time. Just run it, open the first avi, and if they are named in a sequence (like "saturn1.avi" "saturn2.avi" "saturn3.avi" etc), then it will ask you whether you want to treat them as a single avi.
Click yes, then I click "convert", set the options you want, and I choose uncompressed, and save as a new avi.
Hope that helps, let me know if it's not clear.