I got a free book from my ebook store without drm. Separate parts could be downloaded at three different hours of one day. So you ended with three separate books in ePub format.
My question is: Can I join these books together? If so, how?

epubs are zip files, they contain the (x)html. So extract them, head over to Sigil, open the first epub, add in the relevant content from the extracted ones - then merge as needed(i.e check if there are not extra covers and such, then order them correctly). Once you're done generate the ToC and pat yourself on the back.

You could also do it with the epub modification plugins in calibre and then convert to epub again to make sure everything is happy, however it'll most likely be less effort to just use an editor :)

Sorry sometimes when one does not use 'school' english I don't understand very well. Sigil is a kind of editor for epub? If so, does it also do the extract?
Where do I find more information?

Sorry sometimes when one does not use 'school' english I don't understand very well. Sigil is a kind of editor for epub? If so, does it also do the extract?
Where do I find more information?
Next MR forum down is devoted to Sigil.

Yes you can Add many files to create a book in Sigil.

In the case described, each book will have included, its own stylesheet, even though we know they should be the same (you could later edit the reference to use the first and delete the extras) in your case.