Combine Parts of Two Seperate Shape Files Into One Shape File?

Hi everybody,

I have a shapefile of Arizona (counties) and a seperate shapefile of Mexico (by municipalities). I want to combine the Arizona shapefile with only the municipalities of Sonora, Mexico so that only Arizona and Sonora are showing together in a newly created shapefile. Is this possible?


Any ideas, suggestions, help would be most beneficial!


Cheers,
Frank