There was no such option as merging on-the-fly, as in Studio 2014. In Studio 2011 you need create a project, and at the stage of adding files tick the "merge" option. This allows you opening all files in a single window, and easily propagate all changes as you edit.
[Edited at 2015-05-04 14:04 GMT]
These four files came from the client in the form of a single "project", not sure how to propagate the changes...