Speak with her again after obtaining the Banner and she'll give you the Way of Blue parchment. She's the woman you get the Banner from at the beginning of the game. You can find the parchment by talking to High Priestess Emma at the High Wall of Lothric. The Way of Blue is the first covenant available in Dark Souls 3.
You're likely already well aware, but there are spoilers ahead. If you're looking to get the scoop on NPCs or want to get the most out of Firelink Shrine, be sure to check out our other Dark Souls 3 guides.
We'll show you how to find, join, and rank up every Covenant in Dark Souls 3, no matter what situation you find yourself in.