To get to this covenant, you must get to the Darkmoon Seance Ring (see 'Defeated Dark Sun Gwyndolin' for location of the ring). After you get the ring, go to the statue at the bottom of Anor Londo by pushing the lever one more time. The statue is actually an illusory wall that will only disappear if you have the Darkmoon Seance Ring. Pray at the rug in front of the fog for the achievement.
NOTE: If you enter the fog, you won't be able to rank up or join the covenant if you haven't already for the rest of the playthrough.