That's what I don't like about Demons's Souls. So this is more of the same then?
Actually, Demon's Souls kinda had a way of telling you "yeah, go here first" by separating each "world" into different areas, since Dark Souls is open world there's no such thing. I've seen videos of dudes going a certain way right at the beginning of the game where they die pretty much instantaneously. However, some dudes are already trying to figure out what the "natural" progression on this game is, so if you want to avoid an early death you can read about it, I think it takes part of the fun out of the game though.
You need 20,0000 souls so you can buy this key from the blacksmith near darkroot garden. The door is to the passage to the left in darkroot garden, at the very end. There's a hidden fire/camp right next to it.
The best way to get the 20,000 souls is to use the red dragon [the one you get the drake sword from] to scorch the skeletons on top of the bridge. There's a shortcut to the fireplace near the entrance of the town. You probably already kicked down the ladder seeing how far you are.
If you've already killed the dragon and don't have anywhere near 20,000 souls, you can still get there by killing the skeletons yourself but this takes much longer as the dragon would kill them all in a matter of seconds. Once you get the key and open the door in darkroot gardens, let me know. I would explain what to do, but there's tons of videos in youtube on how to do it. I went from a level 16 to a level 48 just by rinsing and repeating this method.
You gotta love how the only way people are doing so good in this game is by exploiting its easy 'cash' and cheap weapons. To be fair the games' difficulty practically begs you to cheat.
I've been able to kill the Capra Demon, get into the Depths and more without having to farm souls like that. Only "farming" I've done was killing all the dudes in my way from the Undead Parish to the Gargoyle area when I wanted to play co-op with someone. No farming is necessary IMO as long as you have a character build that you're comfortable with. Also, only time I've used the Drake Sword was on my second fight against the Gargoyles, mostly because I forget it exists. Also, I don't want to spend souls repairing it. There's also the fact that I "accidentally" killed the dragon on that bridge before learning you could farm souls there.