Yes, NeroVision Express can merge MPEG files, and other video file formats.
I would still suggest downloading Nero 6 and/or NeroVision Express first and testing to see if you really want to spend money on it.
For NeroVision to do this, you need only select Make DVD, or Make Movie and add the MPEG files and then merge them. You can then either make a DVD from it, or export it to a single MPEG file. Your choice.