MergingTesting.csproj

<Project Sdk="Microsoft.NET.Sdk">

  <PropertyGroup>
    <OutputType>Exe</OutputType>
    <TargetFramework>netcoreapp2.0</TargetFramework>
  </PropertyGroup>

</Project>

Program.cs

using System;
using System.IO;
using System.Collections.Generic;

using static System.Console;

namespace MergingTesting
{
    class Program
    {
        static void Main(string[] args)
        {
            string[] fileNames = Directory.GetFiles(args[0]);
            string[] AllData;
            try { AllData = new string[40000]; }
            catch (Exception x)
            {
                WriteLine(x.ToString());
                return;
            }
            
            int fileNumber = fileNames.Length;
            string[][] FileData = new string[fileNumber][];
            try
            {
                for (int i = 0; i < fileNumber; i++)
                {
                    FileData[i] = File.ReadAllLines(fileNames[i]);
                    // FileData[fileNumber][lineNumber]
                    WriteLine("Reading from file " + i.ToString() + " completed.");
                }
            }
            catch (Exception x) { WriteLine(x.ToString()); }
            string oneLine;
            int eiin, maxLine;

            for (int i = 0; i < fileNumber; )
            {
                WriteLine(FileData[i][0]);
                AllData[0] += FileData[i][0] + ",";
                maxLine = FileData[i].Length;
                
                for (int line = 1; line < maxLine; line++)
                {
                    try
                    {
                        oneLine = FileData[i][line];
                        eiin = Convert.ToInt32(oneLine.Split(',')[0]);
                        AllData[eiin - 100000] += oneLine + ",";
                    }
                    catch (Exception x) { WriteLine(x.ToString()); }
                }
                i++;
                WriteLine("Processing for file " + i.ToString() + " completed.");
            }
            WriteLine("\n" + AllData[0] + "\n");
            File.WriteAllLines("Dataset.csv", AllData);
        }        
    }
}