Im having the same problem. Once again software with lousy documentation...
I tried creating a DAT from DMAME .78 EXE and I got error messages (tried setting "OLD_MAME" and also "MAME").
So then I searched these boards and found a command line solution:
In XP you go to START -> RUN, and type in CMD
Then in the command line prompt, go to the directory with MAME, and type:
mame.exe -listinfo > mame.dat
That creates the DAT file.