If you go north of Dawnstar over the water, there's this small island that's not shown on the big map. On this island is a cave. Inside this cave, after few winding tunnel, is a large cavern with a frozen dragon at the centerpiece. When you approach this dragon, you'll be given a quest to retrieve a certain flute from some mage in Winterhold college. Once you obtain this flute and play it in front of the frozen dragon, the dragon will thaw out and become your servant. This is different from the dragon you acquire in the main storyline because it's a separate quest from the storyline quest.