Not sure what the first guy is talking about but, like Demon's Souls, the enemies in Dark Souls do not scale with you. This is so you can fuck up enemies that gave you a hard time in the beginning, a feature that I quite liked.
Granted, with NG+, the game gets overall more difficult but the enemies don't scale.
However, grinding doesn't really do much for pure leveling. I'd say putting more souls into getting upgraded gear is the better option. You can be lvl 50 with extremely high dex but if you just have a regular katana, you're gonna get your arse handed to you.
Go with searching for stronger equipment and grind for upgrading your equipment.
Also you have to decide what main weapon you'll use. Once you've completed the game once, you can experiment a little but experimenting in the first playthrough is a sure way to get yourself killed.
Stick with one main weapon with a secondary that doesn't scale with your level.
The Drake Sword is probably the best weapon to get early on and while you're using it, upgrade other weapons that you're built for into your primary weapon when the Drake Sword gets outclassed.
As for where to go next, DO NOT GO TO THE CATACOMBS.
That place is probably the most difficult in the game if you don't have the right equipment.
Divine weapons, the Sunlight Maggot and either an extremely dense build of armour or the Wood Grain ring. Enemies there are a pain in the arse. The skeletons take forever to kill, are very strong and will continue to resurrect unless you use a Divine weapon against them.
The suggested route for the game, from easiest to hardest is Undead Burg, Undead Parish, Depths, Blighttown, Quelaag's Domain, The Great Hollow, Ash Lake, Sen's Fortress, Anor Londo, Painted World of Ariamis, Darkroot Garden, Darkroot Basin, New Londo Ruins, The Duke's Archives, Crystal Cave, Demon Ruins, Lost Izalith, The Catacombs, Tomb of Giants then Kiln of the First Flame
So basically, after you're done ringing the first bell, go to Blighttown. The Depths will cause hours of frustration if you're anything like me so wait a bit before that and save The Great Hollow, Ash Lake, Painted World of Ariamis and Darkroot Basin for later on in the game.
Hope that helps out a bit!