- 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][1]. 


  [1]: http://www.gdal.org/gdal_merge.html