How do you smelt ore?
What you are looking for is a furnace/smelter, which is typically in the shape of a very large, cone-shaped oven. Not all forges have a smelter, but Whiterun has one.
A list of all smelters can be found on this site
where is the furnace in whiterun?
Right next to Warmaidens, just a few feet past the forge, grindstone et al.