Depending on the version of PowerPoint you have, might bring different
results. To combine into one file, open the initial file, click "Insert",
"Slides from file", browse to and select your file, click the "Insert all"
button to insert all slides. make sure the "Keep source formatting" option
button is checked if you have PowerPoint 2002 or 2003 and you want to keep
separate designs. This option is not in 2000 or 97 and will take on the
design of the file you are bringing the slides into.
Another option is to put all files in the same folder, insert an Action
Button on the last slide of file #1 and set it's action setting to
"Hyperlink to", "Other PowerPoint presentation". Repeat from the second
file to the third file.