Examine the coffin closest to the Expulsion Chamber bonfire, and you'll take a trip to the Frigid Outskirts, a desolate land in the midst of a blizzard where the wind will howl, visibility will drop and a blinding storm will rage for 30-35 seconds. Just as quickly as it began, it will subside and visibility will return for 9-13 seconds. The trick to finding your way is to wait the blizzard out, identify your next waypoint and proceed with caution.
Also of note, there are exactly no bonfires here, so it's to your advantage to use healing items like Lifegems and preserve your Estus flasks.
The general strategy is to make your way between the area's three structures, fighting enemies between them when you must and collecting the treasure scattered along the way.
You'll arrive in the Frigid Outskirts facing the coffin that brought you here. Wait for the storm to die down and turn to your left, where you'll see a collection of graves and tombstones like those that appear at the beginning of each Dark Souls 2 DLC. Make your way there (if the storm kicks up, just walk straight, trusting your ability to walk the line) and stop when you arrive. If you're human and you want help, you can summon the Abbess Feeva and Head of Vengarl NPCs from their summon signs here.
The primary advantage of summoning others here is that they'll distract the hordes of enemies that are about to descend upon you.
There are three surviving tombstones in the graveyard. Wait for the storm to die down and look into the distance between the two tombstones standing next to each other. You'll see a walled structure in the distance. Head there.
When inside, pillage a corpse inside the walls for Dried Root x 1. Walk to the outside wall facing away from the direction you came to pillage another corpse for Mirrah Hat x 1, whose description admits is more ceremonial than protective.
Things are about to get more difficult. The path to the first structure is devoid of enemies. The paths between the remaining structures are teeming with them.
Exit the first structure, facing away from where you came, and identify another structure in the distance. That's your destination. Start walking there, but keep you guard up. You'll be attacked by a Crystal Reindeer, an enormous animal that possess strong melee and lightning attacks. If you lightning defense is lacking, you can equip a Thunder Quartz Ring.
Crystal Reindeer seem to possess the uncanny ability to respawn after you kill them, even though you haven't returned to a bonfire. That means that you're never quite safe after you've defeated them (unless you've defeated them enough that they no longer respawn). The strategy here is to get from structure to structure as quickly as possible because of the respawning enemies.
Once you've defeated your foe, continue down the path to the second structure, listening for other Crystal Reindeer.
Do your best to keep your bearings, but if you lose them — and you probably will at some point — wait for the storm to die down, figure our where you are and where you need to go, and get there as quickly as possible. It's also a good idea to keep the sun on your right as you move between structures. It's really the only thing you can still see when the wind whips up.
On your way to there, keep an eye out for a wandering Hollow. He's standing next to a corpse you can pillage for Lacerating Knife x 20. Keep going.
Inside the second structure, you'll find three weak Hollows playing dead. Pass them to wake them up, and kill them.
You'll also find a Pharros' Contraption. Insert a Pharros' Lockstone, and you'll create a pool of water that will heal you and your squamates.
Standing in the pool, keep the wall to your right and follow it until you find a door. Wait for the storm to subside, find the third structure in the distance and head for it.
About halfway between, in an area surrounded by a Hollows, you'll find a corpse to pillage for Twinkling Titanite x 2. You'll also have to fend off the occasional Crystal Reindeer, but getting to the next structure should be your priority.
At least in New Game+, a Soldier appears about halfway between the corpse and the third structure. A dual-wielding Soldier in Faraam armor will be there, at least in New Game+.
Enter the third structure, and you have a Rampart Golem with a lance and a shield to fight as well as a Hollow. Once defeated, along with any Crystal Reindeer who appear, pillage a corpse inside the third structure for Human Effigy x 2.
Keeping the wall with the corpse on your left, follow the wall until you find a door. Wait for the wind to die down, and look into the distance. It's difficult to discern, but the geography sips into a valley ahead. That's your destination. If and when you get lost, head toward the sun. Watch out, as always, for Crystal Reindeer.
Eventually, you'll approach an open area surrounding a bottomless pit. Facing the edge of the edge of the pit, follow it around rightward until you find a corpse to pillage for Ring of the Living, which allows you to look human when summoned as a phantom.
Facing the pit, run left until you find an area where it's safe to jump down. Cross the bridge and enter the mist for the DLC's final boss fight with a couple more pets.