Shapefiles, in other words files with an SHP extention, are those associated with 3D modelling graphic editors, like Autodesk, ArcView, AutoCAD, etc. If you often use them, then this GeoMerge wil be very practical. It is a utility that lets you join two or more SHP or TAB files into one shapefile.
In GeoMerge you simply select the files you want to convert and join, and you will then get a new file with all of them joined together. If all the selected files had exactly the same column definition in the DBF file of the registry, then they will also be concatenated in the new shapefile.
GeoMerge is totally free.