Strange. If memory serves, this is where you ask him how to find one yes?
I suppose the simplest solution would be to travel directly to the location of the Elder Scroll quest. You'll miss out on some dialogue, but you can still access the quest.
If you are willing to cut past that part: [spoiler]The location of the Elder Scroll quest is in a place called
As I recall, Septimus is marked essential until you have received the Elder Scroll, meaning he cannot be killed.
Is the disk scratched? If so, have you tried installing the game to your hard drive? [Edit: You should probably try that even if the disk isn't scratched].
My memory of Skyrim and its bugs is starting to fade, so that is the only possible solution I can think of at the moment I'm afraid.
Otherwise, it could just be save corruption, which is bad. Good luck though - maybe someone else can offer a better solution.
Can you try the "joggle dialog" trick we sometimes have to use on PC? That would be where you make a save (a fresh one, not a quick save), quit to main menu then reload the save you just made.
So, talk to Urag gro Shub; when you don't get the right dialog option, save right then, log to main menu, reload the save, talk to Urag again. That's the thing that sometimes bumps a dialog situation for me on PC.
Don't know if that will work for you, but can't hurt to try I guess.