In order to change that setting, do the following:

1. Select a report from the Forms Selection window.
2. When the form is displayed, go to Edit , Company setup.
3. Tab through the settings until you get to the Multiple Payroll Data Files window.
4. Select the check box for Yes, I use multiple data files for this EIN.
5. Select the Next button, you'll see a warning message that the changes were saved, close the form, then select the form again in the Forms Selection window.
   

Repeat these steps in your other company folder(s).

When you next select the form, you will be prompted to save the form. You can accept the prefill or choose a different name, for example "3 qtr 2014-field."
Once you've saved the form in both your companies you will be able to merge both forms and continue processing your report.