The Shrine of Winter can be accessed via Shaded Woods. Teleport or reach the second bonfire of the area where the path splits in three directions. To reach the Shrine of winter, follow the instruction on the left path. When you arrive at the Shrine itself, you must present the four great souls you have collected. The Rotten, Lost Sinner, Duke's Dear Freja and the Old Iron King. There are supposedly other combinations to do with soul memory and currently held souls that may or may not work in opening the door, but the four great souls will always open the shrine. Interact with the door and if you have the four great souls it will open.
Head through the shrine to the zig-zag path beyond. This leads down to a road that goes left to right. Take the right direction first and pick up the Repair spell and Large Soul of a Lost Undead from the corpse at the dead end. Head back in the other direction along the road and pick up the nearby divine blessing from a corpse on the side of the road. A Heide knight will be sitting nearby. If you kill him he will drop a Heide Lance. At the next corner on the right side of the road a body will be hanging from the wall containing a Human Effigy and the Large Soul of a Nameless Soldier. Just a little further on is the entrance to a tunnel. Head inside.
At the exit of the tunnel, the weather will change dramatically. A sweeping set of stairs will be ahead that twist upwards to the right. Be careful rounding this corner as three Royal Soldiers (two with crossbows) will be manning a guard station here. Use ranged attacks if you have them to pick them off or rush up and use the guard post itself as a barrier from the archers while you deal with the sword wielding guard. Then finish off the archers. Once they are down, keep heading up the path to finally reach Drangleic Castle. The endgame is approaching people. Read on in the Drangleic Castle section to continue.