According to the wiki the pup will still be around even if Lod is no longer alive. The last few times I did this, he was on the road leading left from the T-intersection just outside of town, but your mileage may vary. He IS annoying, not for talking, but because he tends to push you instead of leading, and can even force you off cliffs or narrow walkways by accident (sure, sure, Bethesda, it's an accident, I understand). http://www.uesp.net/wiki/Skyrim:A_Daedra%27s_Best_Friend