pdflatex and pdfpages are your friends

when you wanna insert multi-page external pdf files to the current latex file or merge several multi-page pdf files into one single pdf file.

Refrash filename database

teTeX

Run:
texhash

web2c

On a current web2c distribution, texhash ought to work; if it doesn't, run mktexlsr

fpTeX

Click Start-> Programs-> Texlive-> Maintenance-> Rebuild ls-R filenames databases, or open a "command" window and run texhash

MikTeX

On a MikTeX distribution earlier than v2.0, click Start-> Programs-> MikTeX-> Maintenance-> Refresh filename database

or get a DOS window and run:
initexmf --update-fndb

On a MikTeX distribution v2.0 or later, do:
Start-> Programs-> MikTeX 2-> MikTeX Options, and press the Refresh now button (Update filename database in earlier versions of MikTeX).