I just finished up the main storyline in Fallout 3 GOTY and the game ended rather than continue, which confused me since it comes with the DLC. Upon checking the main menu I realized the "Downloads" option is blanked out and I can't check to see if the game has them installed. The play screen allows me the check on the "Data FIles" tab and all of the DLC are there and check marked. Reinstall did not solve the issue. Please Help!?

Open the game directory where you installed everything. Navigate to ...Fallout 3\Data

You should see:

Fallout 3.esm
Anchorage.esm
BrokenSteel.esm
PointLookout.esm
ThePitt.esm
Zeta.esm

Those are the files that show the DLC is installed. Now to make sure they are 'active' you check the Falout 3 launcher (not the game exe to run the game) that allows you to change resolution and detail level etc before running the game. You need to make sure all the DLC are checked here. If so your Fallout 3 game will be running with all the DLC active.