After journeying to the top of High Hrothgar and having spoken with Paarthurnax we decend once more to speak with Arngeir and the fact that he could not teach us the Dragonrend Shout that would help us to defeat Alduin.
We ask him of the last known location of the Elder Scroll which contains the words of power to learn the shout. He points us in the direction of the mages of Winterhold.