Download FFmpeg from www.ffmpeg.org/download.html
Example:
file '/path/to/file1.wav'
file '/path/to/file2.wav'
file '/path/to/file3.wav'
Automatically generate the input file using Windows command line:
(for %i in (*.wav) do @echo file '%i') > mylist.txt
"C:\path\to\ffmpeg.exe" -f concat -i mylist.txt -c copy output.wav
Original instructions can be found at trac.ffmpeg.org/wiki/Concatenate