The Forest Covenant will require you to spend a fair amount of souls out of your pocket in order to reach them. Speak with Andrei the Smith at Undead Parish to purchase the Crest of Artorias. Next, go out the door and past the Titanite Demon (or kill it if you choose) into the Darkroot Garden. Follow the path straight and you will come across a sealed door. Examine the door to open it up. Next if you go along the left edge you will find some enemies. Defeat them and then make you way to the ruined building along the left edge. Inside you will find a cat on a ledge. Speak with it to join.
Note: If players are defending the forest, you cannot join, so go as an undead to make things easier.