You will not get another soul from a Dragon you have killed before. This is usually the case when a Dragon is supose to ALWAYS occupy a specific location in the game. They can respawn and you can kill them again, but no soul. The only guess is that this was put in place to prevent SOUL camping (not sure why anyone would want to or need to do that). It is possible to recieve a Dragon Soul if you pass near a location where a Dragon was killed and you were not close enough to capture the sould when it died. Not sure of the details, but apparently the SOUL location is marked by the game seperatley from the body of the dragon (skeleton) itself. The skeleton can disapear (or "spawn" to a new location nearby), but the SOUL where it was originally killed will remain in place until the player moves close enough to capture it.
Wait, i just re-read your OP and it sounds like just an interface mistake. from the SHOUTS menu, highlight the shout that has the greyed out word and hit R to spend one of your shouts on the word. The game should ask you if you want to unlock the word and answer YES to do so. I recall that if you try to CLICK your mouse on the shout rather than use the R button on it, you get the message you mentioned (and it's confusing).
Hope that helps.