Which vetrsion did you get from D2D? Only the GOTY version has all the DLC.
And they must be activated under the data files tab on launcher before play.
If you just have the basic version, I'm not sure how the DLC work with D2D when bought from Games For Windows LIVE. D2D is pretty crap when it comes to modding and installing the DLC works along similar lines.
If you do the GFWL route, forget the ingame browser and use the GFWL startup in your program list. You'll still need to purchase points via Xbox LIVE (since MS was too lazy to create a separate points system), but if you do it all via GFWL links, you should be fine.
Personally, If you hadn't already got it from D2D I would have said rebuy either retail or from Steam (Which unlike D2D is mod friendly)