If you bought and downloaded GTA Lost and Damned on your PS3 and installed it but find no link try looking under games. In some instances Sony requires the demo to be downloaded as well as the game before it can be played.
Most add ons require you to purchase the original game and not just download the demo. If you downloaded the add on to GTA IV The Lost and the Damned it said that it works with Grand Theft Auto IV and that means you must already have GTA IV or purchase it. This is further made clearer under the remarks of another GTA Version Grand Theft Auto: Episodes from Liberty City .and the sales offer at the PlayStation Store says "Grand Theft Auto: Episodes from Liberty City includes both The Lost and Damned and The Ballad of Gay Tony together and does not require a copy of the original Grand Theft Auto IV to play."
So to answer your question Your download which will not be refundable is sitting waiting for a copy of GTA IV so that it can be accessed and played. While possible PlayStation will rarely refund a purchase and it will always be through contact with customer support. In any case there would be a time delay while customer support's recommendation was reviewed before your account was credited.
For others finding it difficult to find a game they purchased
Your games may be sorted into folders under the game heading and sometimes you have set them up by type game console PS1 PS3 Mini PS2 etc. If that is the case all PS3 games would be accessed when you open the PS3 folder that contains the folder picture of only one of the games,
If a game is not installed and only downloaded it is in a bubble under the games heading. All Downloads from PlayStation Store that have been selected for the download option of being downloaded while you do... are not installed when downloaded.
i don't think, but episodes from liberty city has both and is out now.
Go to mibbit.com and hit "Launch App with out account" mIrc be damned.
Damned Damned Damned was created in 1919-09.
There are two ways to play GTA IV original after you have downloaded The Lost and Damned. The first is to load your GTA IV original save. The other way is to Select "New Game" in the pause menu. It should then bring up two buttons, "GTA IV" and "The Lost and Damned". Select GTA IV.
These are the damned was created in 1963.
The Damned Thing was created on 2006-10-27.
In this answer is a link. click on it and it should lead you to a site. on the site, it should show you the map and if you click all the icons to show, then somewhere in Broker, it says loads of places you have to go if you have lost and damned. So look for the place you have to go to start mission 1.
Children of the Damned
Abdul the Damned was created in 1935.
Ball of the Damned was created in 1997.
King of the Damned was created in 1935.
Asylum of the Damned was created in 2003.