In order to access the meat of the DLC - building your own homes - then you must visit specific Jarls and complete quests to unlock them. Hearthfire isn't a traditional story-driven expansion, instead adding the ability to own plots of land, alongside other smaller additions across the game (including adoption). To make your way to Fort Dawnguard, following the directions in the following video by OfficialBackend: How to start Hearthfire DLC in Skyrim

If you can't find one of the above guards to trigger the location, it's said you can just go straight to the Keep and start chatting to those inside to start anyway. From there, you'll get the 'Dawnguard' quest unlocked, with a mission marker that guides you to a cave (Dayspring Canyon) before heading to Fort Dawnguard, where you speak someone inside to start 'Awakening' and the DLC proper. To get the ball rolling on Dawnguard, talk to common guards that roam inside or surrounding major cities, and they should tell you about the Dawnguard faction.

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