-Northern Undead Asylum
The giant crow first appears in the Northern Undead Asylum, where he carries you to Firelink Shrine. If you curl up in his nest, he will carry you back.
You can also shoot him with arrows, but once he reaches 1/4 health or so he flies off. If you die or rest at the bonfire, he reappears. It is probably possible to kill him with ranged spells, needs confirmation.