Don't worry about it. The file is an index to the contents of the
folder, IE knows how to use it. The *.dat extension is used by lots of
programs for lots of completely different things, including some form
of video clips. Some video or  movie playing software on your machine
has associated  itself with *.dat for that reason, and that's why
you're seeing its MPEG icon next to this file. The only time that
would make a difference here is if you double-clicked this index.dat
file in Windows Explorer, and there's no reason for you to do that.

Nothing's wrong, there's nothing that needs fixing.