If your first project is loaded, trying to load the second will bring up a dialog asking if you want to close the first or add the second. If you add you will have one 'project' with two separate 'movies' which you can choose from either the little film reel icon at the top of the timelines or from the 'Window' top menu. To have everything as one you then need to select all and copy from one movie and paste into the second. Make sure the play cursor is at the end of the first part. Finally go to 'File' >> 'Manage movies' >> 'Remove from project' (the second on) so that your final project has just the single bigger movie.
Note, if your movies are big and complex it might be better to export each in your final format and then create a new project with just these two clips. It takes more time to begin with but I've had situations where my computer couldn't handle the two lots of raw material at one go.
Load the 2 projects.You can load the projects without closing the opened ones. Then select the project which wil be first using the pull-down under the monitor that looks like a film reel.
Then fromthe menu file->Manage Movie choose Attach. The 2nd opened movie wil be in the options menu by default. Click OK and the 2nd movie is automatically attached tio the first. Also the 2nd movie wil be automatically losed after the attaching which savws a step.
I have been using this technique fr years, even on very long complicated movies. It works flawlessly.