The main quest is the one that you join the blade in riverdale after getting the horn back to the grey beards follow that one and you will have completed the main quest, ( "spolier" don't kill the dragon on the throat of the world) LOL have just restarted
the game as its great so many side quest's to do and things to trade
You have to kill the first dragon in Winterhold to initiate dragon attacks. To unlock a shout, presuming you have a soul to spend, select the shout in the magic>shout menu and press x. voila! you have a shout. Dragons come pretty often early and frequently
after a fast travel (except to Winterhold).