renaming them is a BAD idea unless you are using conversion software. *.dat and *.mpg files use different formats to handle the data (therfore a difference in quality) and the player software uses the 3 character extension (sometimes the extension is longer but 3 charr is standard) to tell what format the file is in so it can reed it correctly. so renaming your *.dat files to *.mpg without converting them renders them unreadable until you change them back.
however if you use a *.dat to *.mpg converter this would be no problem. the conversion program takes the .dat files and changes the format of the file to match the new format so players can read them with the new extension. however donot be surprised if the quality takes a nose dive or the file suddenly doubles or triples (or even more) in size. different formats hold the data tighter than others (ok, not techie but you get what i mean.) also some converters are better at recompressing the data (making it small again) and preserving the quality of the origional. (just because it is free does not make it good.)
so quite frankly unless you have a pressing reason to change them, i would just leave them alone, but thats just this mans oppinion.
BTW * is just a wildcard that means any and all filenames or extensions. so a *.* means all files AND all extensions and *.dat means all files With a .dat extention. its a techie thing.