Can I join two sound files (wma with wma OR mp3 with mp3) in Windows
XP or I will need some special software? Which software? It should be
easy-to-use,  and inexpensive. The sound file is each about 5-10
minutes long. Windows sound recorder is not good enough I think.

hi - i think the best thing to do is convert the files from mp3 to .wav file

so do that you'll need a program that is able to change these files
so if you go here then you'll be able to get one 
http://www.download.com/3120-20_4-0.html?tg=dl-20&qt=audio%20convert&tag=srch

you'll get the files - once you have changed them you can modify them
in this program

http://www.download.com/Audacity/3000-2170_4-10514927.html?tag=lst-0-1

Yes you can join two or more sound files on XP.  All you need is to
use Windows Movie maker, which is included in versions of XP.

-Open Windows Movie Maker (it should be in your start menu).

-Press Ctrl-I to import into your collections the sounds files you
will be using.  You can also access this from the file menu.

-You should now see those sound files in the collections part of the screen.

-Make sure you are in timeline view.  If you are, you will see
multiple tracks on the bottom half of the screen labeled: Video,
Transition, Audio, Audio/Music, Title Overlay.  If all you see are a
series of boxes, click the "show timeline" botton right above those
boxes.

-Now drag the first clip from the collections down to the timeline. 
You should see an indicator in the Audio/Music track on where the
sound file will be inserted.  Do this again for the second one and it
should automatically be placed at the end of the first one.  You can
drag it away from the first sound file to add silence between the
files.

-After you are done, go to the file menu and save movie file.  This
will lead you to some menus where you have to option to save the file
to different media.  It sounds like you want save the file on your
computer so choose that option and then decide which encoding quality
is best for you.

-You should now have a single file of the two sounds that you want to put tog
eth
er!

You can use Goldwave the best audio editing software that allows youto
save filein any audio format and joining two audio files. The  link is
below:

http://www.goldwaving.com/downloads/gwave514.exe