Yes you can combine as many sitemaps as you want:
You need to create a sitemap for each directory, and then in the root of the domain you need to place a sitemapindex file. So this one is telling the spiders where to find all your sitemaps. (don't forget to include a sitemap for the rootfolder!) You should also put the location of your sitemapindex file (or just the sitemap if you only use one) on top of your robots.txt file. This should look like this:
More info on sitemaps:
http://www.sitemaps.org/protocol.php#indexHere you can also find the format to use for a sitemap index file
You only need one sitemap for google, msn and yahoo. There is no more need to create separate ones.
Hope this helps you out