Make sure that Project Anchorage has been installed properly on your computer and you'll also have to activate it from the game's autostart. You don't have to use savegames from the final moments of the game, because it's entirely possible to complete Project Anchorage using a character who just left Vault 101 after completing the tutorial section. I would recommend that you play using a fresh character, because not only you'll advance at least five levels of experience but you'll also gain possession of a lot of useful items. As a result you'll have an easier job continuing with the main quests and the exploration of Capitol Wasteland.
Start the game and begin exploring Capitol Wasteland as you would have normally. Obviously if you're playing as a character on the second level of experience (just after leaving Vault 101) you'll have to be extremely careful. The main reason is that you may die if you encounter too powerful creatures. If this is your fresh start, begin by moving towards Megaton, because that's going to be the first location marked on your map. If you have already spent a lot of time exploring Capitol Wasteland and gaining experience points, fast travel to Red Racer Factory. You'll have to wait 2-3 minutes before you're presented with a short message on your screen. Also - notice that an Outcast Distress Signal has been added to the list of your radio stations [#1]. Obviously you should choose the signal from the list in order to listen to a short radio transmission.