That doesn't shrink the file size, but loading a single file is faster than loading one and the second. What does shrink the file size is getting rid of new lines, tabs comments and so forth. Note how a google result page is a lot of text, but actually typically 10 lines.

For the same reason jquery is offered minified and YUI offers a tool to "compress" javascript and CSS: http://developer.yahoo.com/yui/compressor/