As long as allow_url_fopen is enabled in php.ini you can use remote files basically the same way you use local files. The PHP manual talks about it here: https://php.net/manual/en/features.remote-files.php.
In your case, you would probably want to use the fopen() php function to load the .dat file into a variable and then do whatever you need to with the data. The documentation for that is: https://php.net/manual/en/function.fopen.php.
If you were more specific about what you need, I could give you some example code with some security measures. What do you want to do with the file?
Another good overview is https://phpprogramming.wordpress.com/2007/02/17/using-remote-files-in-php/
But be warned that this can cause some serious security problems, so you should ONLY do this with files and servers you ABSOLUTELY trust. This may be disabled on shared hosting, depending.
I do not know of a wordpress specific function that will do this. I’d like to know if there is one. Anyone else want to weigh in?