Like Penguin_knight said, simply Data - Merge Files - Add cases, then you can select whether it's an open dataset or you can browse to select it.
Then, since you probably have done a good job in making sure all the variables in all the files look alike, have the same name and everything. It might still tell you that some variables will not be included. That could be a problem and it often happens with string variables.
If that happens, you might wanna go back to make sure all your strings have the same width. A command such as the following should do the work :
This Alter type command will set the width of the variable 'Comment' to 1,000 characters! (Make sure you know the width needed so that nothing gets truncated !
Hope this helps !