I usually use Virtualdub to manipulate my videos, but I generally export them to AVI, which is the native format for Virtualdub. This blog indicates that you can install a plugin to give Virtualdub support for MP4...
I had the same problem using Windows Media Maker and it comes down to not having/able to use the codec/filters for Hikvision video files. If you install the Hikivision DirectShow Filters you'll be able to play the videos in Windows Media Player, but not with Windows Movie Maker. One way I was able to get it working was by converting the files downloaded from my Hikvision NVR to a compatible MP4 version. I used Hikvision Format Converter tool for conversion. The files downloaded from my NVR are .mp4 with MPEG2_PS format (based on the file information from the tool). Change the target format to MP4 and match the clip information as far as dimensions/fps/bitrate (don't use the defaults). A little more work, but it's free.
avidemux is free, and super fast at doing what you want. Load your first clip, then "append" additional clips. It doesn't have to re-render everything so it's done almost instantly.