I've FOSE from the website, and went to the fallout directory and tried to run it but it says the .dll files are missing. I downloaded the fose_loader.7z and have no clue what to do. (This is installed by steam)

Hmmm I have no clue regaurding steam installing it.

But manual ... from your zipped archive ...extract them to the Fallout3 folder .... dont forget Fose loader also.
For me a Fose folder ended up in there ... open that folder and then put everything directly into the fallout folder (same as fallout exe)

So basically all Fose folder contents plus the fose loader share same folder as fallout3 exe ... infact fose folder should be deleted after imo because the contents are outside it now.

Sounds like I ran through the same problems last night ... this was my fix. remember always launch the game with "fose loader exe"