The Way of The Blue Covenant is located feel in the High Wall Of Lothric area and can be found just before confronting vordt of the boreal valley.
To find this covenant simply find the church up the stairs from the boss room (there will be knights guarding it) and you will find an old lady named Emma sitting at the end of the hallway. Talk to her 2-3 times and she will award you with the covenant item.
Covenant items in dark souls 3 have their own slot so you won't be using any ring slots to equip the item you get.
Here is a video showing the location: