If your game is on Steam, then you'd need to install the DLC to the Steam directory. If you left everything at defaults, you'd install the DLC to:
C:\Program Files\Steam\SteamApps\common\Fallout New Vegas\Data
I do not know how the difference in the language (game in French, DLC in English) would affect the game. My suspicion is that you'd hear the broadcast in English, the Sierra Madre stuff itself in English, and a few additional lines of dialog for some of the regular NPCs in English and the rest of the game in French. That's just a best guess since I do not have a clue as to how the user's language choice actually affects gameplay.
The worst that will happen if you try is that either the game will freeze and crash or the DLC portions of the game simply will not work. In either case, all you'd need to do is disable the DLC in the Data Files portion of the launcher to get back to where you started. You could go through the effort of clearing out all of the new meshes, textures and whatnot, but the biggest chunk of the DLC are the four Dead Money files in the \Data directory. Get rid of them and the rest should be OK.
Good Luck (or "bonne chance", as the case may be).