Click on install in Steam.
And yes you need to own the DLCs to download them on Steam.

Sounds like I'm okay, then.

NotZythe Thanks, i meant to edit my post a while ago. This fixed the issue.

VemX1Bot unfortunately plutonium doesn't pass out the game anymore so u wont get it here

Deegz12345 You must have the dlc installed!!!!

iL0g1cal Currently there is a known bug where if you get a dual wield weapon out of the box the game will crash.

ElGusas well thats a bit of stretch, just a couple people