Kegs - for future reference in Windows you need to go to explorer and then chose View/options and uncheck the (defaulted as checked) hide file extensions for known types. Now in the Explorer you can see and change the extension.
Otherwise as you well know you just change the name to name.something.actualextension (eg update.txt.dat instead of update.dat).
You're not trying to open the dat file which resides on everyones PC that tells system administrators which mucky (and non mucky) sites you've been on are you? You can delete your temp files and history but you can't take away the IS departments ability to get you sacked for non corporate surfing.

-- Anonymous, August 01, 2000