Help needed with installation (newbie)

Hi guys, I just started to actually PLAY on a PC. and my first choice was Skyrim and I thought what the hell, why not the add-on as well. I figured out how to install steam and Skyrim. But I'm stuck on dawnguard. I activated the product key but I never saw some kind of installation. The game I bought is a NO-CD Retail. It only had a game card in it as was said on the box (so I'm not scammed or anything) When I'm in the Skyrim main menu, I don't see any add on's or something. Can someone tell me how and where to look if it's installed correctly or any aid at all? Many thanks in advance