In my personal experience, ffmpeg is probably the best/most flexible option for doing what you want. The concatenate multiple files with same codec feature/function is what you want to use. The downside is that it is very command-line oriented, and more of a tool to build a larger video processing app around.
You can't download from the Rialto directly as a single clip. All the video is stored as segments, and when you export video in View what it essentially does is build a playlist on the Rialto of all the clips you want to view, and then launch that playlist in a viewer or exporter function. You could use the API to replicate that function, but you'd still need a method to create a single long file.
At one point I had written a webapp that let you upload VideoIQ/Avigilon export .zips and it would turn them into a single long file and spit back a webpage that let you view the file using jwplayer. If you do a lot of exports/shares you might find that this will be a more efficient approach than trying various Windows movie-maker utilities, as I do not think there are any that can do what you want in a 1-click (or even 5-click) operation.
Will look into the various software suggested.