Let's say that you have a series of documents named Chap01, Chap02, Chap03, and on through Chap32. The first approach is to simply create a new document and then copy the contents of each of your files into that new document, in the proper order. I'll quickly describe two of the approaches and then spend a bit more time on the third. There are actually three ways to go about this.
He wonders if there is a way to create a Table of Contents that actually spans multiple documents. Francis has multiple documents that, for the purposes of a Table of Contents, he needs to treat as a single document.