Yeah, the lack of information was the reason i dropped Demon Souls after defeating phalanx because i had no clue what to do next...
I guess thats why they say your first Souls-Like is the hardest^^
But in defense of Dark Souls 1: You get a message that the black eye (or was it an orb?) that you picked up on her corpse is responding to something when you're in the halls of anor londo before O&S.