Fallout 3 on Steam uses the Games for Windows thingybob. Basically MS's pee poor implementation of the 360 Marketplace. You can't obtain DLC from Steam/Valve as Beththehehsda distribute their DLC through Games for Windows.
So you'd buy/install the game from steam, which runs GFW in the background (of sorts), and that will notify you of any updates to the game (patches and DLC). Through GFW you need to buy MS Points in order to purchase the DLC.
Steam itself has nothing to do with the DLC at all. It's all time through GFW, which is actually quite smooth to use on the PC for DLC's tbh.