To clarify what Gillian said about 4 string, if you have something like this:
string a,b,c,d;
a = b + c + d;
then it would be faster using strings and the plus operator. This is because (like Java, as Eric points out), it internally uses StringBuilder automatically (Actually, it uses a primitive that StringBuilder also uses)
However, if what you are doing is closer to:
string a,b,c,d;
a = a + b;
a = a + c;
a = a + d;
Then you need to explicitly use a StringBuilder. .Net doesn't automatically create a StringBuilder here, because it would be pointless. At the end of each line, "a" has to be an (immutable) string, so it would have to create and dispose a StringBuilder on each line. For speed, you'd need to use the same StringBuilder until you're done building:
string a,b,c,d;
StringBuilder e = new StringBuilder();
e.Append(b);
e.Append(c);
e.Append(d);
a = e.ToString();