Windows never "plays" dat files. They are sytem files, which VCDs use.
In case of Windows XP, what was needed was to execute a dat file & select "Open With....<some media player>. This opened dat in that media player, but used to change the "Open With..." type for all .dat files.
The correct way on Windows is to rename the file.dat to file.mpg. VCD DAT files are nothing but mpg, renamed as .dat.