Originally Posted by VPeric
No, I think it is assumed (for Oblivion at least), that you are still playing the game (even if you've finished the main quest) and so the extra X hours will tie-in perfectly. I mean, that's the sort of "vibe" I got from the TES games - they're not there just to be finished, it's really more of a world you're free to explore. Obviously, if you stopped playing it, then a few extra hours of content probably wouldn't draw you in.
Erm, in short: yes, you're supposed to download the content in the middle of that playthrough.