The location of the ring was unknown until after the death of Dale's mother, who gave it to him in a dream and it physically appeared in his hand. He locked it in a drawer until he woke one morning with it on his left small finger, where he decided to keep it.
Cooper wore the ring until it was taken from him by The Giant, who promised to return it to him after his clues pertaining to the Laura Palmer murder case were found by Cooper to be true. The Giant followed up on his promise, returning the ring to Cooper when he figured out the identity of Laura's killer.
Behind the scenes
Although the ring is returned to Cooper in "Episode 16", he is never seen wearing it again.