So I get to the soul cairn and i'm like woot time for new shouts and an awesome horsie. While walking along the past a soul tell me finds Arvak's skull so I was thinking "Hell yeah, here we go" So i selected it and look at my compass to finds the arrow and... Oh great no arrow and at that moment a thunder bolt struck in the very distance, after like 1/2 and hour and only finding one of the saints opus pages I just gave up and went to finish the quest.

It's supposed to be like that, you're going to have to find it without the marker. If you want help, it's between where Valerica is and the Keeper's place on the right side if you're looking at Valerica's prison from the front. You'll see a ghost farmer and cattle, it's around there.