I bought the Fallout 3 GOTY edition. And I hear that the Broken Steel DLC is supposed to let you keep playing after you activate project pruity. But when I do, it just puts me through the ending movie sequence and returns me to the menu where the most recent save is before I activate Project Purity. Anyone know why this is?

You might have to actually turn the DLC on. As in select it as well as the other DLC.

There should be an section when you start the game that says Downloadable content or DLC and it will have a list of the DLC to select.

Ok yeah that was it. Works now. Thanks!