TVHM or Mayhem Mode?

Playing as Moze on PC and at Level 44 I am completely confused. After killing Tyreen I went back to Sanctuary and activated Mayhem Mode and the various DLC’s. I watched some videos on Mayhem Mode and sort of understood the Modifyer stuff. Most of these videos had an on/off switch just to the right of the Mayhem Mode console. It is not there in my game; should it be?
The really confusing element is where do I start? Is it like BL2 TVHM which re-ran the game butat a higher difficulty? Should I go back to Covenant Pass and start the game over again but this time in Mayhem Mode 1? Do I then have to complete the Mayhem Mode 1 game to start back at Covenant Pass in Mayhem 2? Currently my Main Mission menu shows 3 missions; The Party Out of Space, Blood From a Stone and The Handsome Jackpot. The latter has a white diamond icon next to it. These look more like the DLC’s. Does TVHM/Mayhem Mode 1 actually have a set list of Missions? Help …

Once you go back to Sanctuary after defeating Tyreen you have to talk to Tannis who unlocks mayhem mode for you. Its not active until you talk to her.

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tvhm = redo everything, i know its almost pointless to run it again but ur not doing tvhm ur not a true borderlands player