Is the data within each mxd file in seperate shapefiles/feature classes?
If it is in seperate shapefiles/feature classes you can just copy and paste from the table of content to another...since it is just the mxd pointing to the data and displaying it. Or you can open both mxd's and drag a feature from one to another.
If you want to merge shapefiles (i.e. the data within them) you should use the 'merge' tool under 'data management' in ArcToolbox.
Hope that helps.
Thanks Simon, I will try that.
all the best