READ THIS: Just so you know guys, if it isn't working for you turn off your Xbox and turn it back on, then start Skyrim again. It should actually load the DLC this time.
You must be level 10 in order to start the quest by talking to a guard. If you are not level 10, the cave to the Dawnguard castle can be found on foot. Here is tutorial on how to get there: http://www.backendgaming.com/?p=2639 www.backendgaming.com