• Open MSYS (should be have been downloaded along if you used OSGeo4W utility to install qgis)
• cd (Change Directory) to your folder with your data.
• cd c:/(path to)/(my data)/ (Hint: pressing tab, autocompletes)
• one-line it: gdal_merge.py -o out.tif $(ls *.tif)
• out.tif -> is your output file, name it to whatever you want.
• $(ls *.tif) -> lists all the files ending with tif, and parses it at a parameter to gdal_merge. Change it as needed.

you can explore more options of gdal_merge.py at the relevant page.

• Open MSYS (It should have been downloaded along if you used OSGeo4W utility to install qgis)
• cd (Change Directory) to your folder with your data.
• cd c:/(path to)/(my data)/ (Hint: pressing tab, autocompletes)
• one-line it: gdal_merge.py -o out.tif $(ls *.tif)
• out.tif -> is your output file, name it to whatever you want.
• $(ls *.tif) -> lists all the files ending with tif, and parses it at a parameter to gdal_merge. Change it as needed.

you can explore more options of gdal_merge.py at the relevant page.