DAT is a hidden index of the Web sites you visit and the E-mail you send. It is not deleted when you use Windows to clean out temporary Internet files and so is generally available for investigative work even if you think you have cleaned out your browsing history.
DAT files are generally hidden by Windows so you might only accidently stumble across it. The file itself is generally not hidden under Windows XP but the directories they are in are often marked both hidden and belong to the system and generally don't show up in an Explorer window even if you have "Show hidden files and folders" checked and "Hide protected operating system files" unchecked in your system preferences. A search for that file name can find the files in Windows XP but you have to tell the search to specifically look in hidden and system folders. So, you may or may not come across these DAT files in your exploration of the hard disk.
Typically, a DAT file can only be accessed by the application which creates the file. DAT files may contain data in text or binary format. Other types of files which use the filename extension .dat include VCD video files and some email program file attachments.