I don't where you are and I gather you have a pc because you brought Fallout3 GOTY edition through Steam. Why did you brought through Steam? You should of brought the hard copy of the game.
As for Windows Live, its crap. Its clear as mud, muddled (same thing) and you have to jump hopes something through them. I only brought couple of download contents and one game from Steam which is a small download compare to those dlc's.
Um... Why are you answering a question with an unrelated question? Steam... Because Bethseda made it available via it, because they dont have hard copies available anymore, at least in my region. Are you suggesting its MY fault that their software does not work because I purchased an offer they worked out with a third part or perhaps you are just daft?
Windows Live being crap is apparently fully evident. Why bethseda has provided their content through it is beyond me and part of my gripe.
Although, as from my other response, I apparently have the content. It just will not "load" even when forced. So regardless of WL or not Im still at square one, meaning, nowhere and no "DLC".