Where do I start the content?
Once Dawnguard is installed (along with the 1.6 title update), players that are level 10 or higher will hear rumors about the Dawnguard from guards in major cities. They may also be approached by a courier who will give them a note about the Dawnguard. Otherwise, if your character is below level 10 or you wish to find the Dawnguard on your own, you can seek out the Dawnguard headquarters roughly east/southeast of Riften. It can be reached by a small cave through the mountains.

If you downloaded the DLC while Skyrim is running, make sure to restart the game before attempting to play Dawnguard. You should see a "loading add-ons" message after reloading Skyrim.

For more support information on Dawnguard, visit http://support.gamesas.com