The answer is simple. Your Xbox 360 or PS3 Privacy Settings are blocking you from downloading user generated content, so the option doesn't show up at all.
I had this happen way back in 09 and had to go into my profile and set all of the 'User-Generated Content" Privacy blocks to "off" or "Everyone" That should fix your issue. When in doubt, it's normally your profile settings in the dashboard.
(If you're under 18, your parents did this to you when your box was first set up, probably because they didn't realize what "User-Generated Content" meant, and left it disabled. You'll be needing their password to get in and switch it, so be nice to them, and good luck trying to explain to them that that setting is for NCAA Rosters, and FIFA Creation Centre, and Forza 4 cars, etc. To most older people on the internet, "User-Generated Content" is a secret codename for porn.)