Short answer
Windows has no built-in PDF-merge feature, so the simplest free way is this in-browser tool: add your PDFs in order and download one combined file. Nothing is uploaded, and there's no software to install.
Unlike converting images, Windows can't merge PDFs from the right-click menu, which is why most people reach for a web tool. This one avoids the usual catch — files being uploaded to a stranger's server — by doing the whole merge on your PC.
Add the PDFs in the sequence you want; every page is preserved at its original quality.
Not natively — there's no built-in merge. A browser tool like this one is the quickest no-install option, and it keeps your files on your device.
Yes — the merge happens locally in your browser and nothing is uploaded.