Start -> Settings -> Control Panel -> Folder Preferences -> View -> Uncheck "Hide extensions for registred file types"

My Windows distribution is Russian, so transtated items may be different

Friend, I Don't Mean Just To Change The Extension As I Said It Doesn't Work.. I Can Do It Also: Start-->Run
ren example.rar example.dat
But This Is Not What I Want.. I Want To Make Original .dat File Not Imitation..

I don't really understand what you want to do, but I thick you want to combine 2 or more files together, if it is you can use this command “more src.dat >>dest.dat”, it appends src.dat to dest.dat, but you'll not be able to separate it, or if you want to compress these files to .rar archive you should use some compress program like WinRAR.

I Think You Misunderstand Me, Let Me Try To Tell It Clearly;
There's A "data.dat" File In My Computer, I Can See&Extract The Files In That "data.dat" File With Winrar; I Need To Replace Some Of Those Extracted Files With Other Files Then Make Those Extracted Files Again Into "data.dat"..
I First Tried To Compress The Extracted Files Into "data.rar" Then Rename It As "data.dat" File But The Program Doesnt Accept That.

I Have Tried Something; My Original "data.dat" File Is 100KB When I Extract It, Appears 3 Files. When I Compress Them(Without Changing The Files) With Winrar, It's Size Reduces In 95KB..

OK. I understood, that “data.dat”, could be compressed by some an other archiver, WinRar can compress only to .zip or .rar archives, but it also support extracting math more formats like .cab, .tgz, .arj…, you'd open that file in WinRar, and press “Info”, and top line will say about format, then you'll find a program for compression.

Well, I Must Tell My Aim Clearly I Think; I Want To Use My Own Dynamic Display Picture For Msn.. Dynamic Display Pictures Stored As .dat File In Application Data--> Microsoft--> Msn Messenger-->ID --> Deluxe..... In .dat Files There Are 3 Files; .swf, .png, .xml; When I Extracted Those Files And Right Clicked On Them--> Add To Archive(Winrar)--> Compression Method: Store. When I Did This, The File Is About The Same Size As Before, I Renamed It .dat But It Didnt Work Though..
I Searched About This Topic But In Forums They Say It's Impossible, But There Must Be A Way.. And Thanks For Your Care In The Subject

This file isn't a .rar file, it’s a .cab, but if you'll change something, I thick, MSN couldn't accept it, because there’s “map.dat”, it may be for checksums or hashes of the files.

I've Realised That After Installing An Original Dynamic Display Picture, map.data's "Change Date" Is Changed And Two Of The Files In The "Mapfile" Folder Are Renamed..
Thanks For Your Interest&Help Hidden..

I Decided To Go Further In This Topic
How Can I Use My Own Dynamic Display Picture In Msn?
I Think Everything Is Kept Encrypted In The Map.dat File.. And While INstalling DDP, Contents Of Two Files In The MapFile Folder Are Changed.. Is There Anyone To Help In This Subject?..