Dat files

I have windows XP,three days ago I went to Windows Catalog and
downloaded 4 free games.Today when I turned my computer on I have a
icon that says menu Dat file that came up on its own(no prompting from
me)Can I put this icon in the Recycle Bin with out screwing up my
Computer ? Also,did this DAT file come from one of the games that I
downloaded ?