Question: How do I access The Lost and Damned from the GTA IV menu?
Answer: After you've downloaded The Lost and Damned from Xbox Live, you will be prompted with a message, "The Lost and Damned has been downloaded. Do you want to play it? (A)Yes (B)No". Select (A)Yes and the game will launch.
You can also launch The Lost and Damned from within GTA IV by accessing the Pause menu. Select "Game" and then "New" from the drop down list. Select "The Lost and Damned" to begin or continue your adventure.
Please note that depending on which game you last played and did an Autosave, this will be the game that launches when you insert the GTA IV disc into your Xbox 360.