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.
What are the .dat and other non video files
Do I need to save them
i have been deleting them so far