This covenant isn't required for anything but it can be found in the Darkroot Garden. First off, buy the Crest of Artorias from Andre of Astora for 20000 souls. Then go through the door and kill all of the phantoms in the area (not required but you get a lot of souls as its the best soul grinding spot in the game). After you fight the axe wielding bandit in the Brigand set, go into the room directly in front of the area where he spawns and talk to the cat in the window. Exhaust her dialogue for the option to join the covenant and the achievement.