Okay but when you rename it from .dat to .wav, can you PLAY it in a program like media player or winamp? If you can't play it that way, then yes the formats are different and you'll need some sort of converter program and I'm sorry but I don't know of one off hand.
If it does play, then here is my explanation - the .dat file is a .wav minus the header file (just the raw PCM audio data). Easy CD Creator looks for and can't find the header file so it assumes it isn't really .wav file. Of course the irony here is that if it does find the header and accepts it as a .wav file, it then removes the header during the burn process and just writes out the raw PCM audio data which is what CD audio actually is. The solution I propose is to play the file in winamp using the Disk Writer plug-in (Options->Preferences->Plug-ins->Output->Nullsoft Disk Writer). You won't hear the sound, but it will create a true .wav file (header and all) from the input audio. Might be a crude way to add a header but it just might do the trick.