This one moves slightly beyond Walking with Dinosaurs into its sequel, Walking with Beasts. Not the entire series though, just the prologue that uses stock footage from WWD to show that mammals were oppressed by dinosaurs until the asteroid hit. One of this small mammals shown living alongside Tyrannosaurus and Ankylosaurus is a small squirrel-like animal (in fact, just a live-action squirrel).
Rodents didn't exist at the time, instead there were non-therian mammals known as multituberculates which had the same gnawing incisors, although their jaws chewed by moving front-to-back instead of side-to-side. Multituberculates were extremely successful, ranging from the Jurassic up until the Late Eocene, when they were supplanted by rodents. This is a fairly large multituberculate for the time, growing about the size of a modern groundhog, although those which lived after the extinction of the dinosaurs could get much larger, some approaching 100 kilograms.