Location: Halls of Valor
To get Fenryr, you must solo Halls of Valor (Mythic only) up to Fenryr. This means that you cannot be in a group or have anyone help you, and you must kill Hymdall, then head off to the right and kill Fenryr by yourself. Fenryr isn't tamable until after he is defeated. Once downed, the tamable version will appear.
For more information on Fenryr, check out Petopia!