How do I combine two audio files to one audio file on iTunes?

iTunes only supports this when importing songs from CD (and then only for two or more consecutive tracks). Otherwise you need to use a suitable 3rd party audio editing tool such as Audacity.

Yes. Insert the CD but don't start the import process. As shown below:

1. Make sure that the tracks are listed consecutively by clicking on the heading of the track numbers column so that you see the ^ symbol to the left of the Name heading (sorting must be on this column, even if sorting on others produces the same order)
2. Select two or more consecutive tracks (click on the first one to select it, then hold down SHIFT and click on the last one)
3. Click Options (top right) - the dropdown should include the Join CD Tracks item. If Join CD Tracks doesn't appear, check again that you've done (1) and (2) correctly.
4. The tracks that you've selected to join will have their names offset slightly to the right, and a black bracket [
5. Click the Import CD button to import and join the selected tracks.