A Constituent Relationship Manager (CRM) will do this for you; They are designed to help you manage members and keep all of your information about constituents (donors, funders, volunteers, clients, etc) in one place. To learn about CRM's, see these related ANSWRs:

• What is a constituent relationship manager (CRM)?
  
• What are the benefits of constituent relationship management?
  

There are some open source CRM's, meaning they are "free" and more flexible than packaged databases. However, unless you have lots of experience with designing, installing, and customizing database solutions, you will need lots of time and money to get running with these programs and especially to extend and tailor them to your needs. Some open source CRM's include CiviCRM, Metrix, and Organizer's Database. Packaged CRM's are easier to use and offer more support, such as Salesforce (free for nonprofits with up to 10 users) or eTapestry (free for up to 500 constituents). Check out these resources for a more comprehensive list and advice on evaluating which tool might be right for you:

• A Few Good Tools: Low Cost Constituent Databases, Idealware
• Robert Weiner's Inexpensive Donor Databases, TechSoup
• In Search of CRM Part 2: Searching for Software, Idealware
• Salesforce.com Nonprofit Starter Pack, Social Source Commons

In general, CRM's are a big commitment resource-wise (requiring time and money), so depending on what the files are and your reason for connecting all of this information, a solid email program (check out ANSWR's Free Software tools for email outreach) might be good enough. If you use an Email blasting program, these allow you to create lists of contacts and store information about them in order to segment your lists as a good messaging tactic.

Lastly, its always important to collect other relevant information from your constituents when you get their email addresses, although asking for more information may lead to less responses. However, asking for important information in one place will reduce the hassle of "connecting" this information at a later time. Managing organizational contacts still remains a struggle in the nonprofit tech world. The solutions that work are expensive and don't give you much control over your data. Essentially, this is a problem that every nonprofit struggles with, so there isn't a great go to answer.... yet.