The Four Kings are located in the New Londo Ruins. In order to even face them, you must defeat the Great Wolf Sif and obtain the Ring of Abysswalking. Next, you need to drain the water in New Londo ruins and obtain the key to uncover the boss area. You will know the boss area because it is a broken tower with a fog door. Inside this tower appears to be nothing but a staircase down. Before reaching the end of the stairs, equip the Ring of Abysswalking and jump into the Oblivion. After falling for a while you will reach the bottom and find the Four Kings.
There are a few ways to defeat the four kings. The best way to defeat them appears to out damage them. Once you reach the abyss, you will have to wait a few seconds before they appear, then charge at them and give it all you got. Their attacks are very powerful but can be blocked. They also have a strong grapple attack that you need to watch out for.