As with all the DLC expansions from Borderlands, The Secret Armory of General Knoxx is accessed through the quick-travel system.
All you have to do is locate your nearest quick travel, and travel to T-Bone Junction, the DLC starting area.
Keep in mind that there is some assumption1 that the player has completed the main game. If you have not, you can still access the new area, but scaling can be rather particular. It might be a breeze, it might be a death walk2.
1 It is clear, from introductory dialogue, that the DLC is designed to take place after the opening of the vault, however, you should not have a problem accessing the DLC prior to completing the main game.
2 Not sure how the scale works, but I was able to roll through the Halloween DLC as a brand new level 1 character, only to have a level 10 character stopped in the first area. IIRC, the armory was more difficult, in terms of scaling to the player's level.