Right, firstly were assuming that they're actually files split by HJSplit, in which case it's merely a matter of renaming them to .001/.002/etc etc. Odds are, however, that anyone splitting them using this program won't have decided to rename them to .mkv files just to piss you off. It's far more likely you have one file that has been split into four parts at the encoding stage (as opposed to "its been encoded, lets split it into parts for easier uploading) - think four episodes of a TV series - and what you want to do is join them into one. For that, you need a whole host of completely different programs to extract the files, join them together and create a completely new .mkv file, and for that you need someone with more experience with encoding processes. What I would personally recommend is that you lump it. By the time you've figured it out and merged them all together, you'll have wished you'd spent the extra 5 second annoyance in simply playing the next damn file on the list. Hell, make a playlist and put them in order. Problem solved.
