Highlight all of the songs you want to combine into a single track (they have to be all in a row, though...for example, you could not combine ITPOE Parts I and II this way).
Left click on Advance at the top of your iTunes (should be 2nd from the right), and then click on Join CD tracks.
The tracks will then be joined, as you will see, and you can then right click on it to save it as a single MP3.