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It's should be visible in your games library under the title:
Grand Theft Auto: Episodes From Liberty City
(Includes The Ballad Of Gay Tony and The Lost And Damned.)
If it's not, contact Steam Support about this matter.
Buy it if you want to play
...and go from there.
Answer: Load up GTA 4 Like normal. Start a new game and you will be asked to start the story or the Ballad.