AFAIK, wildcards in OS boxes are expanded by programs, not by the shell (cmd.exe) as in *nix. Perl will keep "*" as an argument, and it's illegal as a filename when interpreted by <> operator.

You may consider this:

FOR %F IN (*) DO perl -pe "" "%F" >> ..\newfile.txt
[download]

but it's better to use Win's built-in commands, like TYPE or COPY, as it was already said.

Note that newfile.txt must be empty or must not exists before the FOR, because >> opens it for append on each iteration.

Update: Using globs:

perl -e "while (<*>) {open(F,$_) or next;while(<F>){print}/}}" > ..\ne
+wfile.txt
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Note: this code has errors, but works as an example.

BTW, it seems that files order is not important.