This is the first of seven covenant achievements that can be earned. Note that these achievements only require that the associated NPC invites you to join the covenant and that you don't actually have to join.
Upon arriving at Firelink Shrine in Lordran, head away from the bonfire and into a stone structure to find Petrus of Thorolund:
Talk to him a few times and he will eventually ask you if you would like him to teach you miracles. Say "yes" and he will offer a Covenant with the Gods (inviting you to join the Way of White), at which point the achievement will unlock.
As always, refer to
http://darksouls.wikidot.com for specific information relating to items or locations.