the zombie island DLC is completely unconnected to the main plot, but the other 2 story DLCs are continuatuions of the plot i believe.
mad moxxi DLC is just arena's for fighting waves of enemies.
and as far as how far i was, there was nothing snowy, i think it may have been the first time you encounter them, there were glowy rock things but it was just a normal rock type place.
it was about 18 months ago since i last played it, so i can't remember that well
i think i was in the area after the area with the beacons that light up the sky. i think
it was actually the beacons that stopped me playing because they caused a really ugly texture glitch when they activated,
this may have been my next mission it sounds familiar
http://borderlands.wikia.com/wiki/The_Final_Piece