Hello,
There are many free programs which can do this. They're called 'PDF Printers'. Essentially, any file you can print on the computer can be converted to a PDF file. PDF Printers install a virtual printer on your computer which outputs printed files to PDF format.
The best free PDF Printer in my opinion is
Bullzip PDF Printer. It provides you with many features including the ability to print several individual documents to one PDF file.