Occasionally - like now - I get files I can't open, because Windows 7 doesn't recognize that format. This time, it's a .dat file. Is there a free program that recognizes and opens all or most of these formats?

There is no reason to open .dat files. There is nothing interesting there.

You mean the file I found under My Documents that I can read as a one-page fax but can't copy and can't forward is not worth opening? Maybe the format is what they say - EFX. How can I open it?
This is what eFax sent me:

Fax Message
You have received a 1 page fax at 2010-07-11 08:39:27 GMT.
* The reference number for this fax is stl1_did13-1278837509-4845180173-22.
View this fax using eFax Messenger.
Download Now.
What is EFX format?
EFX is a highly compressed high quality file format. You can stamp and sign any EFX document using the eFax Messenger and the size of the document will remain small and will have great clarity.
Change your file format:
You can change the format you receive your faxes in. Go to your Account section (link to my account) to see other file format options.

Probably this link will explain better, than I can what .dat file is about: How to read and open .DAT files in Windows

Now, yes, you need eFax Messenger to open EFX file: Download eFax Messenger 3.1.8 Freeware software - Softlookup Downloads

I already downloaded eFax Messenger 4.4. It's in My Documents, but it leads nowhere. When I open it, I get eFax's pitch to order it on-line...

I'm not familiar with eFax, so I'm not sure how it works.

well, you have to download eFax Messenger 4.4, then you open the fax under .efx in your PC, usually under My Documents. Problem is, it opens up to the eFax download website, so it's a circle...

Thanks for your help! I finally figured it out and found it. I hope it can go to the recipient s I received it.