The Darkwraith Covenant requires a bit of work to join them over the course of the game. There are two ways to join them, and are located in the Abyss.
The first way to join is to not speak with Frampt at all after obtaining the Lordvessel. Then speak with Ingward in New Londo the gain the key to the Abyss. Defeat the Four Lords and speak with Kaathe to join. The second method is before obtaining the Lordvessel, explore New Londo and kill Ingward to steal the key to the abyss. Drop in and defeat the Four Kings and speak with Kaathe to join.
Note: Joining this coventant will make Frampt leave Firelink Shrine for the rest of the playthrough.
Note 2: You are required to obtain the Covenant of Artorias Ring from defeating Sif in the Darkroot Garden sealed forest.