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As Master files, they contain the more important data, the game files themselves. There are also ESP files, where P is for Plug-in. They are the supplemental files.
This game works in a way that you do not have to check those files in the Data Files section, because all DLCs are supplied with a .NAM file in the game's data folder. These .NAM files force the engine to load the .ESM files no matter what, even if they are unticked.
Essentially, no matter what you do on those ESMs in the Data Files menu, all official DLC files will be loaded regardless, without any user input.
It is done this way because Fallout 3 required manual activation from the players' parts, and an alarming number of people never realised it. You'd be surprised how many people bough the FO3 GOTY edition and never played the DLCs because they never knew how to activate them.
The entire engine is designed to be highly modular. It requires a core .EXE file to be able to start and a core .ESM file to store the game data. However, this modularity also means that it was easy to release official expansions for, since you only have to supply additional ESM and optional ESP files.
However, this also means it is easy to mod, since modders have to do the same. The engine has options to decide which of these ESMs and ESPs to load, meaning it is highly flexible.
So, you can consider ESMs and ESPs mods, where DLCs are just mods made by the original developer.
Or you can consider ESMs and ESPs the expansion pack system of the game, which is also exploited by modders to create mods.
If you want to mod I recommend you use a Mod Manager which will handle a lot of the workload for you. Just refrain from downloading too many mods, and always read the mod page descriptions.
They contain the data for the DLC (scripts, quests, weapon stats, world layout etc.). FalloutNV.esm has the data for the main game. The .bsa files contain the assets (meshes, textures, sounds etc.). The game should use the .esm files automatically if the '.nam' files are present, but ticking them manually won't hurt anything. To make life easier, get Fallout Mod Manager and organize files from there. It's much clearer than the in-game launcher.