You might be able to do an ugly splice of them by using copy /b.
I don't remember the syntax anymore.
copy file1.mp3 /b file2.mp3 /b file3.mp3 /b bigfile.mp3 /b
That might do it.
That will simply mash all the files together one after another. You should probably strip out any ID3 tags beforehand though.
I don't know what Winamp, or your MP3 player might do with it. It might work fine, it might crash, it might only read the first portion of it, I don't know.
I see Audacity frequently recommended here; it's a freeware audio editor. It might be able to splice the files together properly, without re-encoding them.