XP problems

Ive been using windows xp for a few days, ever since i
bought it off a relative who told me that windows XP
didnt work on his. Well, anyway, my pc is made by tiny,
and im told that it was built for windows 98. It is
running fine, but i have a few problems:

1) Msn explorer seems to hang a lot. I get the message
saying that messenger has to close, then, msn messenger
stops, and i have to close it via the task manager.

2) Im getting these constant messages when im online. I
use internet explorer, and messages pop up telling me
that "my computer is leaking my ip address" and such.
Then, i get told to goto www.byebyeads.com to buy and
install a program to stop the messages. I recently used
ad-aware to eliminate all spyware, but i still get the
problem. Can anyone tell me how to stop this?

3) This is a minor problem. I have a file called
RPG_RT.exe.dat, and it is obiously, a dat file. However,
to make something in a program im using work, i have to
delete the dat extenison to make it a .exe file. This was
easy with windows 98, i just had to rename it, and erase
the .dat bit in it. But, this isnt possible with windows
XP. The filename is RPG_RT.exe, and below it it says "dat
file". How do i delete the .dat bit to make it an .exe
file?

Thanks in advance if anyone could help me!
Chris Smith