You don't get Steam refunds, and it is very unlikely that one is necessary.
Did you get the mod Delay DLC? If so, you have to be within range of the signal.
If you didn't, I recommend pulling up either Fallout Mod Manager and making sure the DLCs have a check, or initiating the game launcher, selecting "Data Files", and doing the same. If it isn't checked, it won't load.
If none of the above applies, try right clicking on Fallout New Vegas from Steam, clicking "properties", go to the "Local Files" tab, and then "verify integrity of game cache". Let it do it's thing.
Also, one more thing, in order to make sure the DLC is installed, go to your Fallout data folder (Win7 64-bit is "C:\Program Files (x86)\Steam\steamapps\common\fallout new vegas\Data", without quotes) and check if "
- Main" and " - Sounds" is present for all DLCs.