TCGA data sets joining multiple files
In R:

flist = list.files("*.txt", path=".")
fl = lapply(flist, function(x) read.delim(x, header=F))
m = sapply(fl, function(x) x$V2)
row.names(m) = fl[[1]]$V1
colnames(m) = flist


That will give you an appropriately formatted matrix named m in R, which is probably where you want to continue processing things anyway.