You could try some of these:

http://www.flash-video-soft.com/joiner/

http://www.321slideshow.com/avi-joiner.htm

Or you should even be able to use the built in Movie Maker application in Windows.

I have done this before and the manual steps include:

1. Demux each file into its seperate video and audio streams. You should end up with four files now - file1 Audio, file1 video, file2 audio, file2 video)
2. using the command line to do a copy /b to combine the audio files
3. using the command line to do a copy /b to combine the video files
4. remux the combined audio and video files back into an avi container

So the tools you need are:

• A tool to demux avi files into seperate streams
• A tool to remux audio and video streams back into an avi container
• copy /b (built into windows) to combine the files

I haven't worked with the avi format in a while so I don't have any specific tools to recommend. A quick search shows there are plenty but I don't have any experience with any to recommend a specific one. These days when I do this process I am usually taking a two disc movie (such as Lord of the Rings Extended Edition) and combining it into one file (an mkv).