Dispatch the hollow guarding the door and use the undead asylum f2 east key to open the door.
Undead asylum locked door.
It is the rusted ring and you can t get it until you leave the asylum and come back later.
Keep this in mind for your return to the northern undead asylum.
Behind the undead soldier sword is a locked door.
You get back as soon as you reach the church where the first bell is located there is an elevator that will create a shorcut to firleink from the elevator you can jump off it and land on a roof and go right you will see a support arch to which you can jump roll to land on it climb the stairs and you.
Once outside you ll emerge onto a balcony.
When you are ready enter the fog gate.
Other answers i don t remember if the demon drops the key or you get it from the guy that gives you the estus flask one of them should give you the key to open that door if you didn t got it then.
Once you have finished off your first real enemy be sure to heal up using your estus flasks if you ve taken any damage.
Undead asylum f2 west key found on the firelink shrine rooftops accessible from the firelink shrine lift shortcut to the undead parish.