For this achievement you must speak with the Rat King in either the Grave of Saints or the Doors of Pharros.
The Grave of Saints is in the pit in Majula, after a couple of drops there will be a doorway to drop to, enter here and go through the area until you reach the boss (Royal Rat Vanguard). After this fight there will be a small room and a rat sitting on a ledge, this is the Rat King. Talk to him until he offers for you to join the covenant.
The Doors of Pharros is the area after the shaded woods, go under an arch at the start of the area instead of going up the stairs. There should be a bonfire to your right. Then continue forwards through this area until you reach its boss (Royal Rat Authority), after which the Rat King will be in a small broken panel in an adjoining room. Talk to him until he offers you to join the covenant.
Note: you do not need to join for the achievement to pop, you must simply reach the decision window (join: yes/no).