After escaping the Undead Asylum and arriving at Firelink Shrine in Lordran, go inside the shrine to find Petrus of Thorolund, an overweight cleric with blonde hair. Talk to him a couple of times and he will first offer to teach you miracles—say YES—, then he will offer you to join the covenant—declining won't prevent you from getting the trophy, as you are only required to be invited.
Alternatively, you can save Rhea of Thorolund at Tomb of the Giants and later talk to her inside the church at Undead Parish to join the covenant.