It's simply a matter of file associations. DAT files aren't generally associated with Media Player, but all you have to do is Shift + right click the file and select "Open with...". Then choose mplayer2.exe and check the box "Always open with this program...". DAT files on a VCD are simply an MPEG stream, which means you could also rename the file to *.mpg and Media Player would recognize it since that's a default file extension.
Best regards,
Floyd