This covenant requires a bit of planning and is very easy to miss. You need to talk to Kaathe to get the option to join this covenant. Kaathe can be found in the Abyss in front of the bonfire after defeating the Four Kings (see corresponding achievement if you're having trouble with that). He wil not appear at all of you:
Place the Lordvessel in Firelink Altar before talking to him.
Talk to Frampt whatsoever in your playthrough.
If you haven't done these, then Kaate will appear and he will take you to Firelink Altar so you can place the Lordvessel and side with him.
NOTE: After talking to Kaathe, Frampt will leave Firelink for the rest of your playthrough.