There are a variety of ways. How good the result is will depend on whether
the documents are based on the same underlying template and styles.
One way... create a new document, then use Insert - File (in Word 2003) for
each of the three files you want to combine.
In Word 2007, in the Insert tab, click Object - Text from file.
The Insert dropdown arrow in the Insert File dialog provides the option to
insert a link to the file. The default (if you click Insert or press Enter)
is not to insert it as a link.