1. Copy the .dll and .exe files to your Fallout NV directory. This is usually in your Program Files folder under SteamSteamAppscommonfallout new vegas. If you see files named FalloutNV.exe and FalloutNVLauncher.exe, this is the correct folder. Do not copy these files to the Data folder as with a normal mod.
2. Launch NV via running nvse_loader.exe. Enabling the Steam Community option (enabled by default) will allow you to launch the game via Steam's standard UI.
Scripts written with these new commands must be created via the G.E.C.K. after it is launched via nvse_loader. Open a command prompt window, navigate to your NV install direcory, and type "nvse_loader -editor". Alternately you can create a shortcut to nvse_loader.exe, open the properties window and add "-editor" to the Target field. The normal editor can open plugins with these extended scripts, but it cannot recompile them and will give errors if you try.