Hi. I have a problem and I hope somebody can help me.
I downloaded Dragonborn but there is no ship in Windhelm and no cultists try to kill me.
If anyone know how to fix this problem: Please help.

Did your character already talk to the Greybeards before this?

I'm having this problem, too. I completed the main quest shortly after the games original release, I even visited the Greybeards again before trying Dragonborn, but the only dialogue was "locate words of power".
I've not run into any cultists, and after traveling to Windhelm docks, there is only one boat (well, two if you count the tiny transport boat). Any help would be appreciated, I'm really hoping I don't have to redownload this.

so if you haven't talked to the greybeards, the main quest gets messed up? can i go back and talk to them then return back for the quest?

Just thought I'd share how I fixed my problem, in case it helps any others.
Apparently after downloading Dragonborn, I was immediately disconnected from Xbox Live and thus was never prompted to update Skyrim with the latest patch.

After connecting to Xbox Live, noticing this, and rectifying it; I was immediately approached by cultist after fast traveling to Riften (but I assume any city will do).
Again, this is a small error on my own behalf, and I hope I've helped anyone else suffering the same issue.

You need to update your game before you play a DLC that is released after the patch

Yes, the 1.8 title update is required to play the content.

Well that might explain my problem too. All ill need to do is drag my xbox to my folks place.

If you have a laptop/PC and an Ethernet cable it can be connected with those

Well thanks for the reply.... I am also having the same problem as the OP.

I downloaded the expansion at a friend's house (no internet here) and didn't think to actually start skyrim to check for updates... i just went home to play right away.

I hope this works... I'll be posting back once I try it out.