If you are sure it is an MP3 file, then try just changing the filename extension from .DAT to .MP3, or whatever extension your PC is setup to recognize as MP3 files.
The filename extension is not required on a Mac (they use other means to recognize file types, and your transfer method may just be throwing on the .DAT extension since it doesn't know what entension should be on the file.
BTW, when you are setting up for your file transfer, you may have some means to automatically assign some correct filename extension, or not, but check it out.
I'm running XP Pro on my computer. When a friend tries to send me an MP3 from his MAC, it shows up on my computer as a .dat file, and won't open on any player I have. What can be done to fix that?