In a Project Navigator project, these ".dat" files can be added to the project.
XST can then synthesize the necessary HDL file.
However, in PlanAhead it is not possible to add these files to the PlanAhead project.
Because of this, for XST to resolve the reference, the full path must be included in the HDL file.
For example, FILENAME_OF_ROM => "/Full_Path_to_File/filename.dat"