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After delivering the
to Farengar in Dragonsreach, Irileth will come into the room and announce that a dragon has been spotted in the area. When you head over to Lord Balgruuf to learn the details, he'll send you, Irileth, and some guardsmen out to deal with it. You'll then need to follow Irileth out to the Western Watchtower, where you'll encounter a fire-breathing dragon named Mirmulnir.
Dragons, of course, can be nasty, but you won't need to do a lot in this battle. Irileth and the guardsmen can kill the dragon all by themselves, so you can simply hide in the tower if you want. But it's better to practice fighting a dragon, because you'll encounter a lot of them in the game. Unless your character is an archer, it's probably best to wait for the dragon to land, so you can hit it with short-range spells or melee attacks. Then you can attack and retreat to heal as necessary.
After the battle, you'll automatically absorb the dragon's soul, which will cause you to learn the word of power you found during the quest
Bleak Falls Barrow
. In the future, absorbed dragon souls will allow you to learn other words of power, but you'll be able to pick which ones. You'll also find some loot on the dragon's corpse, including Dragon Bones (used to craft heavy armors) and Dragon Scales (used to craft light armors).
Optionally, you can also shout your newly learned word of power. To do this, you'll need to open up the magic interface, go to the Shouts section, and select Unrelenting Force. Then you'll just need to shout (by pressing Z on the PC) to complete the objective. Regardless, the surviving guards will announce that you must be Dragonborn, which means you can "slay dragons and steal their power."
When you return to Jarl Balgruuf in Dragonsreach, he'll name you Thane of Whiterun, he'll give you a two-handed
Axe of Whiterun
, and he'll assign you a housecarl named Lydia. This will make Lydia available to you as a follower, and she'll either wait for you in Dragonsreach or in Breezehome. Balgruuf will then announce that you've been summoned by the Greybeards, which will trigger your next quest, The Way of the Voice.
Note: From this point on, you'll get attacked randomly by dragons while exploring the world. This can be difficult early in the game. If you get into trouble, your best bet is to run to the nearest town or settlement so the guards there will help you in the battle. Just be careful -- dragons can kill shopkeepers and quest NPCs.