How do I start DLC
Once your content has been paid for/downloaded from the PlayStation Store*, you should be able to access your DLC content from any current save file for Fallout 3.

http://www.gamesforwindows.com/en-gb/Live/Pages/f3operationanchorage.aspx
IMPORTANT: You must play the game (have your character out and about in the Wasteland, not be in Fallout 3's menu system) for a couple minutes for the Operation: Anchorage content to appear. After a couple minutes, a radio beacon and the questline for "Aiding the Outcasts" will become available.

http://www.gamesforwindows.com/en-US/Live/Pages/fallout3thepitt.aspx
IMPORTANT: You must play the game (have your character out and about in the Wasteland, not be in Fallout 3's menu system) for a couple minutes for the The Pitt content to appear. After a couple minutes, a radio beacon and the questline will become available.

For Broken Steel
IMPORTANT: You must play the game (have your character out and about in the Wasteland, not be in Fallout 3's menu system) for a couple minutes for the Broken Steel content to appear. After a couple minutes, a radio beacon and the questline will become available. To begin the Broken Steel questline, you must complete the main quest by finishing "Take it Back."

For Point Lookout
You must play the game (have your character out and about in the Wasteland, not be in Fallout 3's menu system) for a couple minutes for the Point Lookout content to appear. After a couple minutes, a message will appear letting you know that a riverboat has docked at the mouth of the Potomac.

For Mothership Zeta
You must play the game for a couple of minutes in the Capital Wasteland for the Mothership Zeta quest to appear. Eventually, you'll receive an unintelligable radio transmission which will lead you to an Alien Crash Site. To find the location on your map, make "Not of This World" your active quest.

*Players with Fallout 3 Game of the Year Edition (coming soon) will have access to these add-ons after leaving Vault 101 at the beginning of the game.