dk doesn't use external mame dats, it simply creates new ones by running your mame.exe.
When you install a new version of mame, simply get the latest catver.ini (from triggerfin's site please) and put it in your catvers folder.
Install the new mame and "generate masterlist" in the dk menu.
It will warn you that it will overwrite your current master list.... just continue and go get a sandwich.
In about 2 or 3 minutes all of your lists will be dynamically updated and ready to go.
Any time you wish to update a dat file or a catver file you need to generate a gamelist. When you wish to change the search strings for your individual lists or add new roms you use the search for new roms option.
Hope that helps.