If you are using Office 2003 (and I think 2002) I would print each document
to the Microsoft Document Imaging Printer and use the facilities in there to
combine the pages to create a single .mdi or .tif document, then fax that
using whatever facilities you normally use to add a cover page. (You can
select .mdi or .tif in the Printer properties for the Document Imaging
printer).

If you do not have that facility, roughly speaking you should be able to
a. open the first document and save it as a new document
b. navigate to the end, then use Insert|File to insert the content of the
next one
c. repeat (b) until you have finished
d. (possibly) save the doc.
e. print to the fax printer and add a cover sheet, or do that part however
you usually do it.

However, you may find that you get problems with Word mixing up formatting
from each document - see e.g.

http://word.mvps.org/FAQs/Formatting/PasteWithoutSectionInfo.htm

for /some/ help with that.

Peter Jamieson