I'm not too familiar with Oracle. Is the .dat file a typical delimited file (Ex: Comma Delimited, Tab Delimited)?
If so, you can import this file using DTS with a "Text file (Source)" connection into whichever table you are looking to import into. If this is a one time thing, you can use the DTS Import Wizard to perform this task.
Books Online is a great place to start learning about DTS as well as SQL Server.
Good suggestion from Gradley - also to save having to save the file from Oracle to a dat file look at connecting direct to oracle with DTS and pulling the data directly - very efficient and saves a step.
If no look and cant figure out how to import dat - an exported dat file from Oracle is openable (if thats a word) in a text editor - assuming its not too big - then save it as a txt file then import that.
Good luck
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