Does the DLC for this work like Mass Effect 2 DLC where it is available right away or do you have to progress in the story to unlock it. If it is unlocked right away, when should I play the DLC.

I'd suggest doing General Knoxx and Robot Revolution after completing the main game. The other two can kinda be done whenever, I think.

When you start up the game it will have a pop-up window that will tell you how to access the DLC. Most of them just have a new area to fast travel to. You can check stuff out whenever but the enemies will likely cream you if you aren't a high enough level. Finish the main storyline once first would be my recommendation.

I'm fairly certain you can go there right away, but they all have minimum levels (I believe) so you won't want to do them until you're pretty far in the game. A friend and I made new chars to play through the game again and do the DLC, so we were gonna do Zombie Island when we got to like New Haven (think that's the name of that place; it's been a while). When we went there all the zombies were like 26-27 and we were only 23, so they were twoshotting us and taking multiple clips to kill. We had to leave and do some more main story quests to level enough so that we could actually kill the zombies in a reasonable fashion.

Finish the main storyline once first would be my recommendation.

I believe it's available once you get out of the gate. You'll know what I mean once you play the game. Anyway, it's very early on when the DLC becomes available. 
 
Robot Revolution is specifically designed to be played after you finish everything else (The main game, Knoxx and Zombie Island). Knoxx should be played around the end of the game (that DLC includes a very hard boss that you will not be able to defeat unless you are at a high level); maybe play it after your first play through, that is, if you are intending on playing through the game more than once. Also, I would recommend you don't bother with playing Mad Moxxie, it's not particularly good, however it does come with a item storage area, which can be handy.

I love playing it alone. The loot ain't that much better in co-op, and in singleplayer you are going to get all the items.  
 
Screw Moxxie, but do use the storeagesafe it gives you.  
 
Fish the game once then half-way again before getting on the DLC's. That gives you way better loot, and Zombie Island has some great weapons. 

Zombie Island and Moxxi's Underdome are the only ones you need to activate, everything else just works.

Thanks for the info guys. I'll play through it once before doing any DLC like HellBrendy mentioned.