I just bought old world blues for playstation 3. Downloaded and installed, but does not load into the game. I have the newest update for Vegas, and the caravan pack. What am I missing? Should I delete something?

Just had same issue. Got out of the game and went to game data utility where the DLC and games are shown. For the free code that came with the game it downloaded the US version and the CA version. As soon as I deleted the CA version it all showed up and worked. Maybe that will help you.

I will try that and see if it works. Thank you. If it does not. I would like to talk to customer support.
At any rate I purchased both honest hearts and dead money on the xbox. But due to my 63 year old father being utterly addicted to the xbox I got a playstation for myself and have hidden it from him. I'd hope that bethesda would allow me to convert the other two dlc that I purchased over from xbox to ps3