There are lots of way to do this, this is how I have been doing it.
Download FamiROM rom tool from here
http://www.angelfire.com/retro/kingmercury/
Then you need to find the ROM file's you want to join, the last letter in the file name will be C for CHR (Character ROM) and P for PRG (Program Rom). Some will have multiple revisions these will be indicated by the second last digit being either a 0 or a 1 maybe even a 2.
The Rom files seem to be numbered in order of release, In the HVC folder the ROM's for Donkey Kong are saved as file type 001, Donkey Kong was the first Famicom game.
After you have decide what ROM files you would like to join together open FamiROM, and select editor in the top right hand corner.
Then add the ROM files to their respective area's. you can change the mappers and what not from here, I'm not going to explain this stuff as its a topic all of its own and there is already lots of good info on this out there already. Such as this
Click Save as and it will create a .nes file ready to go.