This covenant is located at the High Wall of Lothric area just before the boss fight. You will find a very large guy wielding a halberd and continue forward past 2 knights in order to come to this church. Upon entering the church, you will find Emma sitting inside (not a boss fight
) You speak with her and exhaust all options until you have joined the covenant. This will net you the achievement. In order to actually "join" the coven, you must go to your equipment screen and look to the right of your armor/rings in order to equip the "Way of Blue" pledge. Having this equipped, you will have people randomly summoned to aid you when have been invaded. This covenant is passive and as such does not have a ranking system as the others do. Here are 2 videos to aid you:
Video 1: (Credit to xTGE)
Video 2: (Credit to HarryNinetyFour)
Hope this helps and let me know if I can improve this solution.