Yeah, ok, time for a real explanation 🙂
.Dat is similar to .Mpeg. In fact, if it's a large file then it's most likely to be an mpeg. You can rename the Dat to Mpeg, and Windows media player should be able to play the movie. Video CDs sometimes have .Dat files on them.
Of course each software developer is free to use an extention he or she pleases, and in some programs this could be a configuration file, a game score file or something else.
There are a lot of sites that explain everything you need to know about hundreds of file formats... Take a look on Google.com