"Central Yarnham", it is the second lamp that you will find from the beginning of the game. (if died by the wolf at "1st Floor Sickroom")
How to get
From the "1st Floor Sickroom", go to the huge gate and open it, after opening it, after that, turn right and there will be another locked huge gate. watch for the enemies. there will be a leaver which you will have to pull. (by the lever is a body with "Blood Vials" on it) once pulled, a ladder will go down, climb it to the top and you will see the lamp right away in front of you.