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The Elder Scrolls V: Skyrim Walkthrough Paarthunax and Sigmus

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At the Throat of the World, you'll be met by a dragon that doesn't want to eat you, rather he'll teach you a word of Fire Breath and ask you to warm him up by shouting at him.

Talking, talking, and more talking, then Paarthunax will tell you to head to either Arngeir or Esbern to learn where the Elder Scroll is. Head to Arngeir because he's closer.

Arngeir will then lead you to Winterhold, where you'll have to gain entry to the College by shouting for a pretty lady who doesn't want to let you enter.

At the College, head to the Arcaneum and talk to the orc, who'll give you some books to read to find Septimus Sigmus, some crazy old dude.

After you read the books, talk to the orc again and he'll point you towards a glacier up north.

Sigmus will be inside.

Sigmus will then babble and tell you to head to Aftand, a Dwemer dungeon filled with incredibly deadly everything.

Alftand is just due southwest of Winterhold.

You'll know you're there when your screen says Alftand Glacial Ruins!