This is not too difficult but but requires some patience. It cannot, to my knowledge, be done automatically. Just a few questions though. Do you have e-mails in both User Accounts and if so are you using Outlook Express as your e-mail client?
Transferring Data (Files & Folders) is relatively simple. Open Windows Explorer (Windows Key + E Key) and in the left hand pane select C:\Documents & Settings and the folder with your first username. Now go to Tools>Folder Options and on the View Tab select "Show Hidden Files..." and deselect the "Hide File Extensions of known Types"
Open another instance of Windows Explorer and as before navigate to your second User Account. Under each of the folders you should see the My Documents Folders. It is simple enough to copy one to the other and consolidate all under one user name.
Remember that you may also need to copy over an address book if you use OE, Favorites and possibly desktop icons, but post back with the answer to my first question and we`ll work from there.