You can't do this in the GE application but if you save both paths as
KML (not KMZ) files, you can edit them with a text editor to create a
new path.
The structure of your paths will look something like this:
<Placemark>
<name>My Path</name>
<LineString>
<coordinates>
[line or white-space seperated list of lat/lon/alt co-
ordinates]
</coordinates>
</LineString>
</Placemark>
You can simply copy and paste the list of co-ordinates from file 2 at
the end of the list of co-ordinates in file 1 - then save file 1 and
open it up in GE.
The list needs to be white-space seperated so spaces, tabs and new
lines are all fine.
:-)
Simon.