DAT files aren't video or audio based so probably not.
i'll give an example: the file format DIABLO uses to save
user information (character level, exp., posistion) is
DAT. a lot of programs use them to store simmilar
information but they cannot be used to store video (as
far as i know).
Raj's suggestion of using "Open With" will work but an even
easier way is to rename the file to something meaningful
(other than "AVSEQnn" I mean), change the extension to
".MPG" or ".MPEG", and then click on it and let WiMP do its
thing. VCD ".DAT" files are MPEG compatible to begin with.