The Princess Guard Covenant is rather small and not that hard to miss. You have to speak with its leader in order to obtain a story related item. After defeating Ornstein and Smough in Anor Londo, use one of the lifts in the back of the room to reach the Princess. Talk with here and she will give you the Lordvessel (if you don't already have it). Next, speak with here again and she will ask you to join. Upon joining you will receive the Sun Princess Ring. You will also be able to purchase the Miracle Bountiful Sunlight and Miracle Soothing Sunlight from Piscaca.
NOTE: If you kill Princess Gwynevere’s illusion, Anor Londo will go dark and you won’t be able to join her covenant or the Darkmoon covenant until the next playthrough.