A dmsm file and its associated dat file are not video files. The dmsm file is a text file which contains the instrutions on how to process your project including the source files used, transitions and effectsapplied, etc. It cannot be added to a project using the "add" option. The "Add" option is used to add already existing video files and/or image files.
To "save" a video file of your project (ie, render) you use the "Output" option on the main menu and then select "Export As"