The merge was not successful if its size was 1 KB. Try running the merge program manually, instead of through the GUI, to see if there is an error message. Open the Command Prompt window (Start, All Programs, Accessories), cd \hysplit4\working, and run ..\exec\conmerge. This assumes the file INFILE is in \hysplit4\working and that it has the correct listing of filenames. It is a text file so can be opened in Notepad.
Word cannot read CDUMP and CONCADD.BIN files.
If you want a graphical display of all the series of individual maps, you could create a Google Earth format for each one, and display them all at once as a work-around for the merge not working.
The Grid to Station converts a single cdump file to a text file giving concentration(s) at station(s). Given this output from each individual cdump file, you can 'merge' the data on your own. This could be run on concadd.bin if successful from above.