Joining files

So, Im using xnews to download some stuff.  And then theres a few jpgs that is some in one file and the rest in another (eg: 01.jpg 01_0.jpg).  Soem sort of 500Kb cutoff before the program writes into the next file.

Err, anyways, how do I join files together?

cat sure isnt a windows command.  Or am I wrong?  The website that was linked was also mentioning Unix.