In the fallout 3 directory there is a folder called "Data". That's where all add-ons go.I recommend you use the FOMM. It's much easier and helps alot with installing and uninstalling addons.http://www.fallout3nexus.com/downloads/file.php?id=640
Are you an administrator on your computer? That's never happened to me before
Errr... I mean the addon. You need to install fallout mod manager just like any other program.