I initially had this trouble too, but it turned out I did not have the DLC installed correctly.
When you download from Games for Windows LIVE it will say 'Installed' but it is not to be believed, there is more to it - See my post You are not allowed to view links.
Register or
Loginhttp://fallout3zone.com/downloaded-content-dla/installing-fallout-3-dlc/
for more information on how to correctly install it.
Good luck.