From alanp9 from trueachievements.com
"You'll run across the first word of the shout in The Temple of Miraak. It's nearly impossible to miss.
The second word is in the Black Book called Waking Dreams, which you'll also pick up in The Temple of Miraak. You can re-enter the book from your inventory and make your way to the Word Wall at any time after you obtain it, but the main questline of the DLC will eventually take you there anyway if you want to wait.
The third word is in Raven Rock Mine. You'll find it when progressing through the sidequest The Final Descent that is given to you by Crescius Caerellius (the old man near the beginning of the mine)."