how do you import files to windows movie maker as one file instead of 40 small files

whenever i try to import files to windows movie maker i get all these short clips and i want just the whole video? im sure its one button i have to press but i cant find it?
anyone know what to do ?

Simple.

1) Open Windows Movie Maker.
2) Select file
3) Select import into collection
4) Uncheck create clips for video files

As hitman47 said, Movie maker can merge multiple files.

WMV Video Converter for mac, DVD to WMV Ripper.