Located in Undead Burg, a short distance from the Bonfire. Head towards Firelink Shrine take out the two Hollow Soldiers with spears, break the boxes over the stairs and head down then out the side door.
The Undead Male Merchant sells a number of great item for people starting their adventure, and some items you will never need or can pick-up lying around.
For Dexterity focused players the Uchigatana is a fantastic weapon and it is well worth taking him out at the start, after you have purchased everything else you need that is. Killing the Undead Male Merchant will count as a sin but seems to have no adverse affects with other NPCs.