Dowloading audio files onto my computer..

Can someone help me here?

I recently went on a vacation trip and I recorded an "audio journal" of my trip.

I recorded several little mini audio files in my folder A of my recorder (about 40 of these little files).

I want to download them onto my computer through the Digital Voice Manager software that came with the recorder. But...instead of having to convert each file individually into an wav file, download onto my computer into a music folder, and then having to transfer those individually to my windows media player, I would like to be able to do this as one big audio file. I attempted to copy and drag several of those little files and drop them into a folder on my computer, but it only copied and dropped the first selection or the top one of the group of files that I attempted to copy and drag together.

It just seems there has to be an easier way to download all of these little audio file clips onto my computer.

I'm also interested in listening to all of these little files in a continuous stream of audio, rather than having to play one file, then play the next file, then the next, etc.

Anybody able to shed some light on this?