When you drag and drop them into the "working area" (the long box at the bottom which is like a time line) as long as you have them in the right order, if these files are from the same video (in sequence so to speak) they should naturally blend together.
Save a copy first in a safe place on your computor so you can experiment as much as you like without worrying about losing or spoiling your films/files.
If by any chance there is still a "jump" between two files from the same video, then you can use the "transition effect" in movie maker to blend from one file to another or one piece of film to another, some of these are quite handy, my misses used them when putting a Mott the hoople video from the gig at hammersmith that was taken on different video cameras filmed from different parts of the auditorium.
Hope this helps.
