This is Catelyn's first style in the series, as seen in the first episodes of season 1 (she also wears it in episode 9). It's an easy style, basically a couple of rope braids as a half-up. Here's my classification of Catelyn's hair (I'm still working in guessing hairtyping correctly, especially when it comes to strand type, so it's all open to changes and suggestions) and the analysis of the hairstyle. All reference pictures are credited in the link shown in the slides: http://screencapped.net/tv/gameofthrones/
The rest consisted of sectioning a front section of hair at each side of my face and rope-braiding them (if you don't know how to rope-braid, try this, for example: http://www.wikihow.com/Make-a-Rope-Braid), trying to keep the style a bit messy and loose, especially when tying the braids back, as Catelyn seems to favour loose, windswept messy styles with face-framing layers, and half-ups that loop loosely over her ears (I had my side bangs framing my face, as Catelyn, but you can't see that in the pics). Fine straight hair won't look the same as Catelyn's coarser, more texturized wavy hair, of course, so it doesn't look nearly as windswept-messy as hers...Maybe I should use aloe-vera gel as a way to texturize my hair a bit more next time.