Each file is a different dump of the ROM, so combining them isn't necessary. All you have to do is extract the one that's recommended for use with the patch(usually indicated in the readme) and that's it.
Also based on the readme file, you only nead the "raw" non tampered japanese ROM, the Title of that is : Live A Live (J).smc If you got it from RomUlation, the other info on the readme, the HiROM, headered info thing, no need to regard that, as the exactly titled ROM I said is the one the File needs Have fun with that one ;D