To get started, let me explain about .esm files: Fallout 3 uses files with an ".esm" extension to store all the media the game uses, from sound to pictures. Now in a standard mod that only affects normal Fallout 3, but not its DLC, there is no need to hunt for any files because the main .esm files are already in the Fallout 3/Data folder.
However, the genius who created the whole DLC idea decided that it was necessary to hide all the expansion pack files away so you can only access them if you know where to look. This was probably done to prevent piracy (illegal copying of files). It is totally legal to make a copy of the DLC .bsa file and drop it in your Fallout 3/Data folder, but it is NOT legal to give this file to anyone else. Doing so allows you to use any mods that may affect the DLC.
Now I'll tell you how to find those tricky files (I'll assume you're using Windows Vista, but this method should work fine with Windows XP). Start a search for "DLC" with "Advanced Search" enabled. This allows your coumputer to search hidden files as well as normal ones. The search may take a few minutes, once its done, you should see a folder called "DLC" located at: "C:\Users\Your Name\AppData\Local\Microsoft\XLive\". Inside the folder there should be only one folder named a random string of numbers and letters. Mine has 8 digits, but I'm not sure if thats the same on all computers.
Next you have to navigate through another one of these files (I think it has a random 8-digit name) until you reach a few named with huge strings of random numbers and letters. There should be one folder for each DLC you own. Inside each folder should be another folder named "Content", open it up, locate the .esm files named after the expansion packs (Anchorage.esm, ThePitt.esm, etc) then copy it to desktop. Press the back button, enter the next folder, repeat to copy process until you have all the DLC .esm files on your desktop. Make sure you COPY, do NOT just drag and drop.
Now for the final step: navigate to your Fallout 3/Data folder and drop the .esm files in it. Everything should now work 100%. I hope it works out for you, good luck and tell me if it works out. Take care guys,