Two things:
1. the merged file should not be in the same folder as all the other files as this would cause it to try and append itself to itself.
2. in your command you havent got a \ between the c: and undeliverable.
I would suggest:
1. create your output file in the root of the C: drive, e..g
copy con c:\undeliverable.txt
CTRL&Z (control & Z to close the file)
2. issue the command whilst in the c:\undeliverable folder:
for /f %x in ('dir c: /B') do copy c:\undeliverable.txt + %x c:\undeliverable.txt
The alternative is to write a bit of vbscript to read through all the files and extract the information you require, e.g. recipient and reason for failure. If you want to attach 5 or 6 example bounce messages I will write this for you.