finally after many variations of command lined prompts, this seems to have worked. Get your command prompt, then:
cd C:\your folders address
copy /b"M25-1920.RAW"+"M25-1920.R00"+"M25-1920.R01"+"M25-1920.R02"+"M25-1920.R03" xyz.RAW
(of course change the file names to the names of your files) then just add your own file name at the end that's in red, and convert to dng like normal (I use raw2dng.exe)