Look in your 'My Games' list. DM multiplayer should be "100% - Ready". If it says that, it's complete and ready to be played. Again: it is an automatic process, you don't have to download anything manually in addition.
When I launch the game on steam it say downloade paused not 100% ready but then I press resume dowloade it says 100% ready again! And when I get to the menue I cant find any servers because it could not connect to master server or something.