Wulfgar won’t teach me Unrelenting Force’s final word after Arngeir accepts the Horn of Jurgen Windcaller

If you are being attacked you may have some sort of bounty. You can either yield (sheath your weapon) or if they are currently attacking you on site you may need to leave and come back a few days later.

The following answer to this may be considered a spoiler so:

Spoiler Alert:

What you should have gotten was a note to rent a room in the sleeping giant inn. Once you have rented the room and gone to it, Delphine gives you the horn and then asks you to follow her. She goes to a room directly across from the room you rented and through a secret passage. The horn is actually returned to High Hrothgar, Arngeir is expecting it. Delphine however wants you to accompany her to another location to prove you are the dragonborn. http://www.uesp.net/wiki/Skyrim:The_Horn_of_Jurgen_Windcaller

NPCs can kill dragons. But regardless of who kills a dragon (player character or otherwise), the dragon soul will always be absorbed by the player character (spoiler: except when you currently have a particular set of Dragonborn DLC quests active).

To add to this answer, you might also want to install the Run For Your Lives mod. It makes most NPCs hide indoors when there's a dragon attack, instead of facing them head-on and possibly getting killed by, or killing the dragon.

Mod description:

A small mod that makes citizens in a village or city run indoors during a dragon attack.

This was born out of frustration at seeing the citizens all trying to be a hero and rushing headlong to their doom attacking dragons. Instead, the citizens will run to safety like smart people should when faced with the horrors of giant flying fire breathing lizards. NPCs who live in the attack location who own a home there will retreat to it. If the attack location has an inn, NPCs who don't live there will flee to the inn, along with any NPCs who live outdoors. If no inn is present the game picks a random interior from the surrounding area and those NPCs will flee there instead.

This should work for any NPCs added by mods as well, up to a limit of 150 in the area. After that, they're on their own. The NPCs chosen are first come, first serve by the game engine.

Guards, members of The Companions, Vigilants of Stendaar, and the player's followers/teammates will not run, they will stand and fight. Farm animals will not run either, because they're stupid. That includes your horse.