Jaksta

What are the .dat and other non video files

Do I need to save them

i have been deleting them so far

What is the source url?  Look at the captures Properties.  Menu > Properties.  That may give an indication where they are from and what they are.

JMR picks up streams based on detecting streaming media protocols.  One of these protocols is HTTP/S, which is what normal web site pages are sent over.  Media can also be sent over this protocol.  To distinguish media from other data the response content-type is used.  These are in Settings > Internet Downloads > Advanced > HTTP.   So if it is a HTTP/S source then it will be one of these. 

The easiest thing to do though is to block the domain they are coming from using the AdBlocker Settings > Internet Downloads > Advanced > Ad Blocker.