You encounter your first dragon in the very start of the game, but the first fight against a dragon is in the quest called Dragon Rising. It's right near the start of the game, too. I'll even give you some tips for the fight: Have quite a few health potions handy, and get the strongest bow and arrows you can find at the low level you will most likely be.
Good luck on the fight, and keep watch on the skies, Dovahkiin.
Keep on playing through the main quest. Once you pass the part where you have to kill the dragon at the western watchtower for the Jarl of Whiterun. Dragon attack will become more frequent.
Before that they will be very scarce, but will still happen.
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