LOWER UNDEAD BURG
Return to the Hellkite Dragon’s bridge. If you recall, there was a locked door leading into a tower at the beginning of the bridge. Use your newly acquired Basement Key to unlock it. After descending the ladder, you’ll soon be out in the open air. Turn right and head up the tall staircase. Opening the door at the top creates a shortcut between here (the Lower Undead Burg) and the first bonfire you lit in the Upper Undead Burg. Rest at that fire, then return here and back down the steps.
As you descend the next set of stairs into the village area, three dogs will attack you. If you’re slow going down the steps, you should be able to deal with them one at a time.
Leave the steps, turn right and head down the alley. You’ll hear someone calling out from behind a door. If you have the Residence Key from the Undead Merchant in the Upper Undead Burg (Master Key won’t work here), you can free this man. He is Griggs of Vinheim, and once free, will relocate to Firelink Shrine where he’ll sell all sorts of sorcery spells. Make sure to roll around and break the barrels in this room for some nice loot.
Now continue in the other direction through the village. Beware of assassins as you proceed. They’ll emerge from closed doors once you pass a certain point. They’re not especially dangerous, but they do throw knives and can cause headaches when attacking in groups. In certain stances they can riposte, and their blades are coated with poison. Make sure to check every open door for loot as you proceed. Before you reach the fog door, you’ll have to fight three more assassins and two more dogs.
Since the boss behind the fog door is tough, you’ll want to open a nearby shortcut that connects this area and Firelink Shrine. Instead of going through the fog, head down the stairs to the right of the fog door. Follow this path until you hit a raised door on your left. Enter and ascend the tower. You’ll end up back in the aqueduct (as soon as you do, look right to find an Undead Merchant) that leads back to Firelink Shrine. Rest there and return to the fog door.
BOSS: CAPRA DEMON
The most difficult thing about this fight is the two dogs that attack alongside the demon. As soon as you pass through the fog, sprint up the stairs to your left and onto the narrow ledge. Quickly kill the dogs from up here, then wait for the demon to reach you. At this point jump back down to the ground.
You have a couple options now. One is to allow the demon to drop down, then quickly run up the stairs and try to land a plunging attack (as seen in the video) or used ranged attacks like Fireball. Your second option is to engage the demon head on. You can block all of his attacks except for his overhead swing, which can kill instantly.
The Capra Demon drops the Key to the Depths. The door to which this key belongs is across from the door leading back to the aqueduct. Go there now, or...