Cainhurst is a hidden area of the game. To gain access to it, first go to the Forbidden Woods and find the area with several dog cages (there is only one place in the Woods with dog cages, and it is tough to miss). There is a hidden path behind the cages that leads into an underground cave area, and then into a poison pool area with some giant monsters. Run straight through the poison pool area, avoiding the giants (they will probably kill you with ease – do not fight them) into an exit tunnel that leads to a very long ladder up. Follow this path for a while now and you will find your way back into the very first building that you woke up in, in Yharnam. Search this new section of the building thoroughly, and you will find an item called Cainhurst Summons.
Now that you have Cainhurst Summons, go back to the Witch's Abode lamp (the one where you fought the Witch of Hemwick). Backtrack to a large stone monument in the middle of a grassy area and a cutscene will trigger. Enter the carriage that appears to be taken to Cainhurst, which unlocks this trophy. See the following video guide: