Microsoft have confirmed that the first part of Xbox 360's exclusive episodic content will arrive this August. From CVG:

"In its GDC keynote extravaganza, Microsoft confirmed that the first downloadable "episode" for GTA IV will be coming this August, exclusively to Xbox 360.

"Grand Theft Auto IV: Episode One, as it's being called, is presumably the first in the previously announced two downloadable episodes for Rockstar's sequel. They've been rumoured to have cost Microsoft a fair few pennies too.

Source: ComputerAndVideoGames.com