I just tried it with one of my avi files... maybe this helps...
cat "Ray part1.avi" "Ray part2.avi" > RAY.cat.avi; mencoder -noidx -ovc copy -oac copy -o RAY.avi RAY.cat.avi
Basically, its just ...
cat movie1.avi movie2.avi movie3.avi > allmovies_concatenated.avi
mencoder -noidx -ovc copy -oac copy -o allmovies_final.avi allmovies_concatenated.avi
...and you end up with a file allmovies_final.avi that should be all synched up and ready to go.
If you're looking to put your avi's onto a dvd to watch in your DVD player. You should take a look at this:
http://mightylegends.zapto.org/dvd/dvdauthor_howto.php
Good Luck