COPY assumes text files, and will terminate at Control Z and anything else which is not a normally printable character.
COPY /B is a BINARY copy, which duplicates every character regardless of whether it is printable.
COPY /B file.0* newfile
That will work, and is a great way to use up empty disc space.
It may however disappoint you, newfile will contain copies of files in the sequence that they are given by Windows.
If you want the contents of file.001 to be followed by file.002 etc etc you need to control the sequence.
Regards
Alan