Follow these steps to splice two files together:

Import both files into Audacity.
Select the second one by clicking on its label (the area around the mute/solo buttons).
Choose “Cut” from the Edit menu.
Place the cursor by clicking in the first track, after the end of the audio.
Choose “Paste” from the Edit menu.
You can press the Play button to hear the result, and use the Export commands (in the File menu) to save it as a sound file.