If you're using Windows, you can use the command line to merge the files without having to rename anything really. For Vista/7/8, hit the windows key to open up the search bar, type "cmd" (without quotes) and hit Enter to open up the command prompt.
Type the following to merge the files WITH quotes:
copy /b "C:\...\blah.RAW"+"C:\...\blah.R00"+"C:\...\blah.R01"+...+"C:\...\blah.RXX" "C:\...\blah-merged.RAW"
A couple slightly more advanced tips:
1) Open up a notepad file to type out the entire command first and then paste it into the command prompt. Press the windows key, type "notepad" and hit enter to open it up. Once you have everything written, hit Ctrl-A to select all the text, Ctrl-C to copy the text, then paste it into the command prompt window (AFAIK, you can only paste it by right-clicking the window and clicking "Paste").
2) You can quickly copy the path of each file by holding Shift and right-clicking on the file. A new option called "Copy as path" will appear. Click it and paste the path in notepad with Ctrl-V. It'll have quotes too.
edit: Oh, I forgot that some file extensions may be hidden by default and you may not see them unless you show them. The WinRAR files have the extension .R00, .R01, .R02, etc. The first file in the sequence is .RAW followed by .R00, .R01 etc.