I have found a faster way to open the Command Prompt in the right directory with the contest menu.
In your files explorer go to the directory where are your files to merge.
Hold the SHIFT key while you right-click the folder and click on “Open Command Prompt Here”
In the Command Prompt enter : copy *.sql merged.sql hit Enter to copy all data into merged.sql
Close the Command Prompt window.
Open merged.sql in your favorite sql editor and go to the bottom of the content to check if Windows has added an unwanted character, remove it if needed.
All your *.sql are merged into merged.sql you can now import them with few clicks in phpMyAdmin.
How merge All sql files in one Sql file?