I guess such concatenation can be accomplished with Windows Multimedia API calls like
mmioOpen,
mmioSeek,
mmioRead,
mmioWrite.
Probably you have to open several WAV files, read them to memory buffers, and then save them in a new WAV file. May be even an insertion or attachment is possible.
The WAV file has a header information so any file concatenation with DOS COPY or something similar will not work.
MSDN link:
http://msdn.microsoft.com/library/default.asp?url=/library/en-us/multimed/mmfunc_665q.aspCheck on the Internet -- I saw some VB examples on AllApi and other VB sites.