It probably won't do any harm to leave it as is, or to delete the association.
But you should run regedit, just to see if it works properly.

If the present file association prevents regedit from running properly,
then you will need to delete it. (registry files are .DAT files).

I have 2 win98 machines and one has no entry for .DAT file type,
and the other has been modified to say "configutation DATA", extension
DAT, with nothing under "opens with"

I play with these settings all the time.

To customize a right-click menu, open any folder, then select Folder Options from the View menu. Next, click the File Types tab, choose the type of file you wish to edit, then click Edit. Then, in the Actions display, click New. The action is what will appear in the menu. Enter the action you would like to add such as Open or Print. Then, under Application Used To Perform Action, enter the execution command you would like performed. To see how the syntax works, open up other Action items and see how they are entered. When you're done, click OK, then click Close twice.
http://www.pcmag.com/article2/0,4149,25285,00.asp