If they're in QuickTime .mov format you can spend $29.99 for a QuickTime Professional Key. That unlocks many of the features of QuickTime, including the ability to link together .mov files (with a little copy and paste), and sound files as well. MPEGS are NOT supported, though I've not tried much with MPEG4 yet.

If it's in .avi or another Windows Media format, I have no clue