I have played the DLC at a friend's house. I believe you do need to purchase the Microsoft Points and then buy the DLC through the Live Tab in Fallout 3.
Once you have it installed, all you need to do is load a save game before you start the final mission and then wait for the radio signal. Once you hear it, select the quest, and travel to the location on your map.
Once you have it installed, all you need to do is load a save game before you start the final mission and then wait for the radio signal. Once you hear it, select the quest, and travel to the location on your map.