The Alien crash site is in the northeast quadrant of the Fallout 3 map. It is west and slightly north of the Greener Pastures Disposal Site, and due north of the MDPL-13 Power Station. You will know you are close when you are notified of a new radio signal that is only detectable a short distance from the downed alien craft.
The site contains a dead alien, the alien blaster weapon, and alien power cells. If you already have the alien blaster and want more power cells, there is a crater just NW of jury street metro station. There is also more in ammunition boxes on the bottom floor of fort independence.