I have been searching for a while on this. Some forums said use xxx movie player then someone suggests using different codec.
I found this one http://forum.videohelp.com/threads/211826-How-do-you-combine-*-wmv-001-*-wmv-002-*-wmv-003-Files. It is actually working when I do this following in command prompt.
copy /b moviesxxx.mkv.001+ moviesxxx.mkv.002 moviesxxx.mkv
After that I just play with my usual K-Lite Codec.