Assuming that you wanted every file in every sub-directory, or that there is some distinguishing searchable identifier, I just got the following to work. Note that in this example I was using a port of the unix find and cat commands ported to a windows system. I don't know how old this particular Windows port is so mileage may vary.
find . -type f -exec cat {} ; | cat > bigfile.txt
When using Ubuntu 10.10 and the bash shell I found that the following syntax worked better both because find "found" bigfile.txt if it is created in the search path and because certain parts of the command needed to be escaped. Note the differences between this and the windows port are the single quotes around the brackets, a backslash before the semi-colon and creating the container file one directory up.
find . -type f -exec cat '{}' \; | cat > ../bigfile.txt