Yes there is an MSN History Merger. Worked like a charm 20 minutes ago.
Here's the link.
http://www.codeplex.com/MsnHistoryMerger
For your case you're probably gonna have to merge more than once since it takes 2 origin folders and merges it into one. So what I would try is this system.
Let's say you have 20 different history folders. You'd do this:
History folder 1 merged with History folder 2 = Merged History 1
Then go on and try this:
Merged History 1 merged with History folder 3 = Merged History 2
Merged History 2 merged with History folder 4 = Merged History 3
and so on and so forth.
You can try googling to see if you find something that can take more than just 2 origin folders but for now this is probably your best bet.