Before entering the Capra Demon's room, look right and see a staircase leading down.
Near the bottom of the stairs, you'll see a "thief" enemy... but even if you shoot him with an arrow, he won't attack. This is because he's baiting you to go up and fight him - there's another one hiding around the corner. Ironicly, this means you can stand on the stairs and just kill him with a bow.
After killing those two enemies, you'll keep walking to find a door on the right, a stairway on the left and a body with a soul crushed under the gate on the end.
The door on the right leads to the Depths (you need a key to enter... and no, no the Master Key).
The stairway on the left leads to a tower with a zombie archer, so kill him. Keep going up and you'll find a door. Open the door and you'll find you're back in the upper area of the Undead Burg in the tower leading up to the Taurus Demon.
Of course, if you haven't killed the large knight with the giant club, he'll be waiting for you when you open the door.