How to activate the DLC that you have purchased or that came with the Game of the Year Edition of the game.
Activating the DLC
1. Go to your Steam library and click “Play” on Fallout 3.
2. Click on “Data Files” in the Fallout 3 launcher menu.
3. You will see a set of boxes pop up. Most likely, only Fallout3.esm will be checked.
4. Check all of the boxes with the names of the DLC packages; ex: BrokenSteel.esm
And there you go! For some reason, Steam installs the DLC, but does not activate it so I hope this helps those of you that have not been able to access the DLC.
Original Link – Continuation of discussion