Go to Goron Village and talk to Darunia and he will let you through a door that leads to Death Mountain Crater (but you should get a red tunic so you don't burn) and cross a bridge triggering a cut scene, and in it, Sheik teaches you the song.
Actually, I'm pretty sure that you have to stop the small Goron, Link, rolling around on one of the top floors with a bomb and he gives you the Goron Tunic AND opens up the Goron Shop and Darunia's room. Then you pull back the statue in Darunia's room to find yourself in a previously unreachable part of the Death Mountain Crater. Ensure you have the Goron Tunic equipped or Link will soon combust. Not a pretty sight, believe me. Anyway, hookshot over to the other part of the bridge and Sheik will appear before teaching you the Bolero of Fire.