In Windows, open a terminal, go to the content folder and write:
copy /b *.sql all_files.sql
This concate all files in only one, making it really quick to import with PhpMyAdmin.
In Linux and macOS, as @BlackCharly pointed out, this will do the trick:
cat *.sql > .all_files.sql
Important Note: Doing it directly should go well, but it could end up with you stuck in a loop with a massive output file getting bigger and bigger due to the system adding the file to itself. To avoid it, two possible solutions.
A) Put the result in a separate directory to be safe (Thanks @mosh):
mkdir concatSql
cat *.sql > ./concatSql/all_files.sql
B) Concat them in a file with a different extension and then change it the name. (Thanks @William Turrell)
cat *.sql > all_files.sql1
mv all_files.sql1 all_files.sql