Did you complete the quest, "Take it Back!"? You have to finish the game like you do without Broken Steel. Once you complete that, it should automatically start you off on Broken Steel.
Adding to this.... you will watch the same slideshow that you would normally at the end of the game, and the game seems to end, but then you should get a big text banner that reads TWO WEEKS LATER.... and you wake up staring at a ceiling.