I tried everything. Added Fallout New Vegas, chose to override app settings but still, when I load the game, AA is OFF!!
I'm using windows XP SP3.
Override doesn't work for some reason. If you want to use Nvidia's AA options, select "enhance the applicaiton setting" and then choose any level of AA in game. Contrary to what some believe, this does not add AA on top of AA. Some games choose whether or not to apply AA to certain things and for that reason it is generally a good idea to use the application setting. But what the enhance option does is apply whatever AA method/level you choose in the control panel and apply it according to the game. In most cases, it will work identical to override.
But if you really want override, google "nvidia inspector". It's an easy-to-use utility that allows you to have advanced control over game profiles. You can add falloutnv.exe to fallout 3's profile and AA will magically allow you to override. This can make some of the grass look funny though because the game doesn't apply AA to the grass polygons (which are mostly 2D alpha textures so transparency AA smooths them out)
You can also choose different levels/methods of AA not available in the control panel - like super sampling. I tried it with this game, and 2x super sampling AA cuts my framerate in half but it sure looks better than even 32xMSAA+transparency