It should be under "C:\Program Files\VMware\VMware ThinApp\thinreg.exe" on the machine you installed the ThinApp tools on.
A dat file is fine, entry points are the .exe shortcuts into the package. The dat file contains the package itself. Had you not used a dat file all the contents would have been in the .exe file and that's usually best to avoid so you're ok here.
Here's some great info regarding dats and entry points: ThinApp Data Containers, Entry Points, and DATs; Oh My! | VMware ThinApp Blog - VMware Blogs
~Brandit