In the quest where you kill the first dragon, I got the dragon soul but it was immediately used to enable the shout I learned from that Bleak falls barrow quest. Is this supposed to be like this? I thought we get to choose which words to enable. What if I have like 5 words, will it pick one by random?

I'm pretty sure the game only expects you to have one shout at that point, as it's still pretty much the introductory quest. I've killed at least six free-roaming dragons, and you get to choose.