Following is a response from Senior DHS Stata Specialist, Tom Pullum:
Unfortunately, the stratification variable is often incorrect or labelled incorrectly in surveys conducted before about 2010. The following lines will work if you change the path.
set more off
set maxvar 10000
cd e:\DHS\DHS_data\IR_files
use MWIR41FL.dta, clear
gen survey=1
append using MWIR4DFL.dta
replace survey=2 if survey==.
append using MWIR61FL.dta
replace survey=3 if survey==.
* The strata in MW41 are given by s006
* The strata in MW4D are given by group(sdist v025)
* The strata in MW61 are given by v022
gen mw_00_strata = s006
egen mw_04_strata = group(sdist v025), label
gen mw_10_strata = v022
gen strata_temp=.
replace strata_temp=mw_00_strata if survey==1
replace strata_temp=mw_04_strata if survey==2
replace strata_temp=mw_10_strata if survey==3
egen strata=group(survey strata_temp)
tab strata survey, table clean