Hey!
I have bought the Dead money dlc to my PS3, i have downloaded it and install it.
When i got to the menu in the game, i go to dowload content and try to start the dead money Dlc. And nothing happens, what are the problem?
Do i have to start a new game?

No. The downloadable content section just states what content you have. Load any save you have before the game's ending, and you'll be told what to do.