You find a petrified egg which you need to give to the merchant in Iron Forge.
He will let you Join the dragon something covenant.
Afterwards you can leave a special summoning sign (or summon people from the covenant) for a fight. If you win you get a dragon scale.
Turn in 10 and you get the helm, turn in 20 and you get the rest.
The bridge that connects the first bonfire with Iron Forge is a great place to do this. It's full of summoning signs of covenant members or you can place one and it honestly won't take more than 30 secconds for you to get summoned.
Be warned though that it's not a regular armor. You get a stone and if you use it you equip the armor (and can't unequip it until you die). Plus you get some extra skills if you use the stone while you have the armor equiped (the head stone will give you a terrible fire attack and the armor stone will give you extra damage for a few secconds).
The armor itself looks awesome (which is why I use it

) but it's not very good (give you something like 120 defence) and can't be upgraded.
On the plus side it's ridiculously Light. You can equip basically any sword/shield combination and still be able to roll