To combine audio files with Windows Command Prompt, you need to do as follows:
Use the hotkey [Win+X] to open the menu > choose Command Prompt in the pop-up window.
After the new window pops up, enter cd c: followed by the directory. This is to open the the file folder where your audio files are saved, so you may need to change the command to match with the actual file folder path of your audio files.
Enter the command copy b *.mp3 c:combined.mp3 > press Enter. This is to copy the audio files that have the file extension of *.mp3 under the file folder you've entered, and you can change the output name for your combined audio file as you wish. (The command for the output is: combined.mp3.)
Then you can find the combined audio file named by combined.mp3 in the local C: disk.