You can't directly changed the format of the file msot of the time. Unless the .dat file is originally a sound file, you can't turn it into a wav or mp3 by changing the extension. The extension controls which program opens the file.
To change the extension, go to Tools --> Folder Options --> View --> Uncheck "Hide extensions for known file types" Now you can change the file extensions at will.
If you want to change the format, you have to determine what type of file .dat is. My guess is .wav. Try renaming the extension to .wav and open with a media player.
After which you can then convert the wav into mp3 or wma.