Dark Souls

After getting out of prison and beating the level boss you will be brought to the Firelink Shrine, walk straight ahead and you will encounter a very fat knight, you cannot miss it without walking to a dead end. Keep talking to him and the achievement unlocks. You don't have to join the covenant, just discover it.

Proceed into the little castle and fall down, take the three treasures and die or defeat the skeletons, don't proceed further into the cemetry or you will be taught some lessons.

After this head back and turn around, instead of going to the knight go to the very right, there's a small walk leading up the mountain, this is where you want to go next.

DO NOT KILL NPC's!

Knight/Cleric?
If you play as a Knight or a Cleric, you will start the game as a member of this covenant automatically--but the achievement is for -discovering- the covenant. Note also that while you can only be in one covenant at any given time, once you have completed the Undead Parish area you will meet an NPC who will relieve you of the covenant you are in, allowing you to join another of your choosing.

Thanks to Gaist Heidegger for this addition.

Way of White

Involves everything "related" to Gwyn and its followers. "This covenant is for helping out other players online. Players who are in this covenant will automatically be drawn closer to each other on the network. This makes Miracle Resonance easier to perform, as well as helps block people from antagonistic covenants from coming closer on the network."

Joining
-Speak with Petrus at Firelink Shrine or to Reah at the Undead Parish (after rescue from Tomb of Giants) to join this covenant. Note that talking to Petrus is the faster because he is at the firelink shrine when you arrive from the undead aslyum.
-Knights and Clerics start the game as members of the Way of White covenant.
-You do not need to be a part of this covenant to purchase items. You can join and abandon the covenant and still purchase items while in another covenant.

Effects of covenant
-Players inside this covenant are matched up much more easily with other players in the same covenant during online play. It is speculated this covenant is connected to the Warrior of Sunlight and The Princess' Guard covenants for online play.
-Players report that joining this covenant can help reduce the amount of invaders invading into your game. Extensive testing suggests that members of other covenants are given preference to invaders over members of the Way of White. In other words, members of Way of White are only invaded if there are no other potential targets, greatly reducing (but not eliminating) the rate of invasions. However this protection appears to be reduced or eliminated if the player summons additional friendly summons to assist them, as this appears to often result in imminent invasions as well.

Rank Requirements
There are no known ranks in this covenant. It is believed additional aspects and possible ranking mechanisms related to this Covenant were originally developed and based around the Undead Parish, but later removed from the game before release.

Betrayal Penalties
Leaving this covenant will drain 1 swig of your Estus Flask, as if you drank it. However, this has virtually no impact because you can simply rest at a bonfire.

I know there already is a guide for this but each convenant has different effects and just want to make everyone aware of what they do.

Credit goes to Dark Souls Wiki

Just Follow the video guide and congratulations. Achievement Unlocked. 15G - 20TA Points.

This covenant, is for those who wants ''peace'' , You'll not be invaded easily.

Just a quick video showing where he is when you first start. He does move after so long, so if he's not there then check the other location. Tomb of Giants*