Windows has trouble running very large .exe files, so if your package is larger than 2GB, it's recommended to save as .DAT. That will give you two files, one very small .exe, which the user runs to launch the package (and Windows can comfortably run) and a larger .dat file, which contains all that was captured to create the package.
You need to have both files created by Cameyo, the very small .exe and the much larger .dat, e.g. mybigpackage.cameyo.exe and mybigpackage.cameyo.dat. Launch your package by running mybigpackage.cameyo.exe and be sure that mybigpackage.cameyo.dat is in the same directory.