the person in the link just doesnt know how to apply the shout to the word. When you select the locked shout, it says at the bottom of the screen to push 'r' (on PC) to unlock. He must have missed that.
Oh, wow, so I can indeed manually unlock shouts. That's good to know.
In Bleak Falls Barrow, you get a word. After you kill the first dragon outside of whiterun, you automatically learn the word. Bethesday could have used that moment to do an "apply Dragon Soul to Power Word" tutorial, although that would have taken away from the epic moment that is a player's first dragon kill and the worship of the nords around him.