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.