Lol, I also had a hard time to figure that out, it was just after I unlocked the shouts (well, I got a shout before being able to use them) so when I killed my second dragon I tried to use the other shout but it didnt work, later while I was looking at my spells, I went to shouts by mistake and noticed it had the dragon soul count at the bottom and a thingy saying Unlock shout (or something similar)... I think they should change that part, it's confusing at first. xPI watched a video just now, I guess that's it then (though I use the 360 controller so it should be a different button)
I am officially retarded
well lots of people are in the same position, I've found tons of forum threads on the net about this;
apparently it would seem a lot more logical if when pressing A (=clicking) on a shout, it would say "do you want to spend a soul to unlock this shout?" instead of saying "dragon souls are required to unlock a shout", which kind of implies that you don't have souls. Very confusing.
Also, about mods, I tried to download one of the nude mods (well, I just wanted to see what they'd look like), but it said I needed something like a main mod in the instructions txt file, what does that mean? :S
PS: Anyone know what the song during the main screen is? I wanna download that song. D=
*Same song as in the vid above* >.