klite 2 comes with a few useful addons, which can be used in combination to preview files.
1)Use Dat View to select your dl directory (1st button), find which .dat file is the one you're after, then choose a directory to copy to (3rd button). Hit the 2nd button and the file will be created where you specified.
2)Use AVI preview if it's an avi file, otherwise open in any media proggy (Should work, but I've only ever previewed AVIs)
Hope this helps