What you see when you receive a winmail.dat file is something (a probably misconfigured) Microsoft Exchange server is sending out. It is a wrapped around the file itself, not the file itself. The file the user wanted to send you is inside it.
The problem is really at the end. If they use regular modern email and everything works properly, you will only get the file. But they use either an old client or server and it is wrapped in a winmail.dat file as it is still 2008 (Seriously, I made a video about this in 2008 and I have not got this question to me in ten years – https://macmost.com/e-52).
Back then, the answer was to get an app called TNEF’s Enough. It looks like the app is still around and in the Mac App Store for free now. https://apps.apple.com/us/app/tnefs-enough/id986621
But you should also tell the sender that this is happening, and that it could potentially be a real problem for them if they do not have their IT department, and look at that.