At the main menu, go to the LIVE option and select that. Click on your account avatar then click on the Account Management button. Once there, in the left hand menu, you will see in green letters the option to redeem code. That is where you need to input the code for Harley, Robin, and Nightwing. To get those code you can right-click on Batman Arkham City in your Steam Library and select the option View Game CD Key. Get the DLC codes, NOT the game code. Hit the copy to clipboard button and then paste that into the Redeem Key box of the Live Market Place.
From then you will need to close the game and open your GFWL program, go to the Download page, and install those DLC's. Once they are downloaded though GFWL. you should be able to start Batman back up and find the option to play the content.