You can try avidemux which is free
http://fixounet.free.fr/avidemux/
It can handle different files other than avi and as long as the videos are all the same file type, resolution etc it can join them without rencoding them, which also means you won't lose any quality.
When you have installed it go to file>open and load the first vid in the sequence.
Then for each vid after the first one go to file>append and add them like that.
When you have all videos added, go file>save, when you save it you need to give it a file extension as well as a name, make sure the file extension is the same as the videos you are joining e.g joinedvid.mp4 if the vids are mp4. Then just press save and it will join them.