To activate the DLC, click on the button on the main menu and it will create a shortcut on your desktop. Quit the game, open the DAEMON shortcut on the desktop, and run it along with the game.
Alternatively, go to the folder where you installed the game and DLC, it should have a sub-folder called DAEMON. The app the shortcut above references is in here.
In the game, you will hear the DAEMON whenever it has something to tell you, but it's a bit hard to understand with just the audio. Use the keys Alt+Tab to switch apps and see what it says!