You need to research "Dance with Dragons" It is on the research tree near the very end of the "Civilization" tab. Then, you'll need to make sure the dragon cave is within your territory. So either build a city or outpost close enough to get it within your borders. At that point, you'll need to simply click on the cave then click the build button. It will be built using your nearest city. If the build button is darkened, hover over the build button with your mouse and it will tell you the problem, it may cost like 100 gildar (or some amount.)