This Covenant is located in The Abyss, which is underneath New Londo Ruins, and it's a bit weird in terms of requirements. 1) You need to kill the wolf, Sif, to get a ring to traverse the Abyss 2) If you acquired the Lordvessel item and have rung the two bells to get Frampt appear in Firelink Shrine, it's best to not talk to him. If you do and he brings you to an altar, do NOT place the Lordvessel item on the altar; if you do, then you won't be able to join. If you have the Lordvessel item, then you talk to the Guardian of the Seal (a NPC in red robes in New Londo Ruins) to get a key that will drain the water there. 2a) If you don't have the Lordvessel item, then you need to kill the Guardian of the Seal to get the key to drain the water. 3) Equip the ring from Sif and go to the Abyss, and fight the Four Kings boss. After defeating the Four Kings, you should see a serpent and a bonfire that appears. Talking to it will allow you to join the Covenant.