I hope I understand what you are asking. If this is a one-time event, then save the first file as an Excel workbook, not csv, that way you can have extra worksheets (csv files allow only one worksheet). As you open all the other csv files (you can do it at one time), right-click and choose "Move or Copy" and click the box below to "Create Copy" then select the original XL file (you saved above) as destination.
old, slow, and confused
but at least I'm inconsistent!
Many thanks for the suggestions. I did not put exactly what I wanted. Is there any command from the command line I can use ( Windows command line ) which can combine the .csv files into one .csv or .xls file? I do not want to open and do copy/paste.