It's not any sort of problem really. This is not an actual change to the file extension. This only means that .dat files (from any app) are "associated" with Media Player. Which means that, if you tried to open the .dat file, it would try to open in Media Player. This isn't something you're likely to do, since the file is used by gw.exe when you start GW.
You can, as Elliptic suggests, change the file association. This may have resulted, btw, from having the "-mce" command in your GW shortcut (which you can remove).
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