I don't understand exactly what you mean.
You can combine all this files in one timeline.
>supposed to copy the complete file
Actually, http://forums.adobe.com/thread/1015001?tstart=0 says you copy the complete FOLDER structure
http://helpx.adobe.com/premiere-pro/using/transferring-importing-files.html has more information
Once you have lost the folder structure, I do not know of a way to do what you ask... does not mean there is no way to do that, just that I do not know of a way
My problem is that I want to send via dropbox a folder to someone. But sending the folder structure from the SD card doesn't work. DBox zips "PRIVATE," but if you try to unzip it, its empty, even tho file size says +5gb. However, if you click down to streaming files, the three I mentioned are there: two mts and one xmp file. Importing them thru media browser does not put them together in one file, i.e., imports the two mts separately, and drops one frame between clips.
Zip the PRIVATE file before uploading to Dropbox.