Track down the source of the Sierra Madre invitation.
Detailed walkthrough
This quest is given to the player automatically after downloading the Dead Money add-on and then, either loading a saved game or stepping out into the Mojave wasteland for the first time.
The Sierra Madre Broadcast radio signal is found which advertises the Sierra Madre casino.
Travel to the Abandoned BoS Bunker, north-east of Nelson to learn more, south-east from Camp Forlorn Hope.
Upon entering the bunker, head down the stairs and approach the door ahead of you, attempting to open the door causes a prompt to appear asking whether you wish to continue and commit to traveling to Sierra Madre. Accepting the challenge opens the door.
Walk through the door and approach the radio, The Courier is then knocked unconscious by gas flooding into the room and the player is treated to a slide show detailing the history of the Sierra Madre casino. You will receive an in-game message stating that your companions have returned to their homes.
Upon waking, the player is greeted by Father Elijah's hologram, which explains that he has fitted you with an explosive collar and that he wishes you to recruit several companions in order to carry out a heist on the casino.
You will lose all non-quest items when entering the Sierra Madre, so it would be wise to keep quest weapons such as the Missing Laser Pistol, even though finding ammunition for it would be rare. NOTE: If you have the Missing Laser Pistol with you to start make sure it is not equipped or the game will crash after Father Elijah finishes his initial talk.