If you have a continuous TimeCode, you should get a single AV file. If you have done any playback/rewind, or removed the tape and reinserted it, then you may well have broken the TimeCode, and PrE will break on that TimeCode break.
For a complete Capture, you might want to look at ScenAlyzer Live for SD tape, or HDVSplit for HD.
Of course, you can also turn off the "split" feature completely in the capture window. Then you get one big, long clip.
The split is completly turned off and I am getting multiple files anyway!