As far as I'm aware, Brinno Video Player doesn't include this capability. The application is just a player for media files, not an editor. The only thing remotely similar that you can do using this program is to create a playlist with all the videos that you're interested in and watch them one after the other. If that's what you want, use the playlist box from the right-side of the window.
If you're actually interested in combining videos, you can use an application like Movavi Video Editor (freeware) or the Aconvert online utility to "glue" multiple video files together.