The Merge Shapefiles to One tool merges (that is, combines) multiple input shapefiles to a new shapefile. The input shapefiles must be in a common coordinate reference system and should contain common attributes. For example, vector data is often provided in tiles or by political jurisdiction such as counties or states. In these cases, the data may need to be merged to form a seamless layer covering the study area. The Merge Shapefiles to One tool that can be found by navigating to Vector | Data Management Tools will combine them.
In the Merge shapefiles dialog, you have the option to choose whether you wish to merge all shapefiles in a folder or pick individual shapefiles to merge.
Depending on how your shapefiles are stored, you can do either of the following:
Keep Select by layers in the folder unchecked to merge all shapefiles in a directory
Check Select by layers in the folder to select individual files to merge
If the previous option is enabled, choose the shapefile type...