If you acquired the DLCs through Games for Windows Live they are stored in a different place than normal, and you have to be logged into GFWL to use them, I believe. That may have had some impact on your problem.
thanks for your reply. The first time I downloaded them and and moved the esm files to my data folder in the Bethsheda folder structure up popped a window, when I first started Fallout 3, and the DLC was there with a checkbox by it and I would check it to install and use it in the game. I do every thing the same and do not get the DLC pop up window to check the box by it, could be because the game which I am now playing are the saved games which were the dowloaded DLC and Fallout 3 thinks they are already loaded. I think I will reinstall the game and then put the esm files in the data folder and see what happens.