Mods aren't standalone things you can just play on their own, they're integrated into the main game. So if you want to use them, you'll have to play the whole game again. I'm not sure why you would download the game if you didn't want to play it. As for how you would do it with Steam, I presume the same way you would do it with the disc version. There's a FAQ thread stickied to the top of the forum you probable should read.
You get a message popup for four of the expansions at the start of the game.
Those can be played at any time, I think you get a fast travel marker also.
The only one that can't be done separately is Broken Steel - that begins when your character completes the original main quest ending.