This one is pretty simple. From the Anor Londo bonfire(The one before you fight the lord of cinder) Head towards the rotating spiral tower and look to the right for a gap in the tower that looks like it might to connect to something.
It is already in fact connected to an invisible walkway so move forward and dont worry about falling off. Walk towards the bonfire in the distance and from there look to the left to find a lady who is standing. Interact with her to gain access to the covenant.
Bear in mind this may not work if you don't have the Dreamchaser's ashes. To get this item, warp to the old wolf of farron bonfire to see an item hanging from a seemingly unreachable ledge. Exit the room and turn left until you get to an archway shaped illusory wall by the corner and break through it.
Warp back to Firelink and give the ashes to the shrine handmaiden. Then quit out and back in to find Sirrus of the Sunless realms sitting on a ledge near the firekeeper. Exhaust her dialogue and she will give you the Darkmoon Loyalty.
Warp back to the covenant and perform Darkmoon Loyalty to gain access. Hope this helps.