It's the word "datafile" that everybody understands as the specific file format that was supported in Allegro 4.
Allegro 5 cannot read this format (and even the structs stored inside: BITMAP, RLE_SPRITE etc. are different from Allegro 5's AL_BITMAP)
so you shouldn't bother anymore with the grabber.exe and dat.exe, they are all for Allegro 4.
In Allegro 5, if you want to store all resources in a single file, the handy way is to make a zip archive (using any standard tools, the zip can even use sub-directories) and in your program, use the PhysicsFS addon to access the individual items.
The idea is that you call:
and then any call to al_load_bitmap() will read items in the zip.
See the complete example ex_physfs.c in the distribution.