Near end of Fallout 3 main story but I hear Broken Steel DLC is set after the main story...
Does this mean I can carry on doing side quests (picking up new oens as I go) and other DLC after?
If you complete the story without BS installed, the game ends. You then have to install the DLC and reload your last save, which may mean doing some (or all) of the final mission again.
If you already have it installed when you finish the story, you wake up 2 weeks after the end of the final quest, and you have the entire wasteland open to you, to continue exploring and looking for side quests. You'll also then be able to start the BS missions whenever you want.
The other four DLC will just open up new locations, to give you access to them, as and when you install them.