We are making a video, but we will separate different files and make our own, when it's almost done, how do we combine them and still have the effect?
You will need a video combiner/joiner in order to add all the files into one single file. Luckily, there are plenty applications of this type that can help you with your needs. To have a wide variety of options, I recommend checking the database of Software Informer.
There are many applications you can use to simply combine multiple video files into one single one: http://software.informer.com/search/video+joiner