No, you save it like "weapons.dat" and when you open WinMPQ later. And you add the .dat files. When you add the file a little pop-up will come and ask you something (not sure what it asks) just tyoe "/arr" and then you'll see that the .dat is loaded. After that you can just read the FAQ that is stickied at the top and you should be fine from there on out.

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When you add weapons.dat, It automatically asks you where to save it.