You can't choose your icons from multiple files. It must all be in a single file.
However, that file has no size limit, so you can have an infinite number of icons. So you will need an editing software (GIMP is free, powerful and easy to use) to combine manually the different files. Your only restriction is that icons must all be 28x28 (I believe that is the size in XP) and there are only 16 (not sure about the exact number, but it's the number of icons on a single row by default) per row. But you can have as many rows as you want. So basically the file's width never changes, but the height can be infinite (always a multiple of 28 though).
EDIT: Correction, what I said is true for VX, VX Ace and MV, but not for XP (it has been a long since I used XP). I'm terribly sorry, follow Shaz's advice (below this message).