simple answer, don't use a dat file, and don't use nero to make any video / movie files.
Nero is for burning CDs and DVDs. You need to use some sort of video software, you also need to give more information as to how you got to the dat file stage.
If you can view the video, then you need to work out some way of changing it into a proper video file such as .avi if its on a DVD / CD then you can often find riping software (note: that riping copyrighted material is illegal, and i do not endorse that).
Also... try Windows Movie Maker which is free with / to download, if you have Windows XP (SP2), I haven't tried it myself but its supposed to be very easy for the amateur, although I don't know if it has screen video capture options on it, check it out and have a look.download Movie Maker here