To answer your first question; media player really doesn't play many different types of videos.(wmv) A great alternative is TCPMP player; and best of all its free! TCPMP player is great and plays many different codecs. You can download it here:
http://tcpmp.corecodec.org/download
PS: I've personally never heard of dat. files being video files. Maybe its just my ignorance?
For your second question. I know that there are browsers that support multiple windows. However, I personaly don't use any of those types of browsers(PIE). I once used a browser call FTXP or FXTP, can't remember the exact name but overall it worked pretty well with the whole multiple windows thing.(and it was free). As you know opera supports multiple windows. Oh yeah, to unistall your beta version of opera just go to; Start; Settings; System; and Remove Programs.