The Direct Link module is a module which links to another part of the app or something external.
Once you add your Direct Link module you will see a drop down list where you can select where you would like this module to link to. These are generally other modules within the app but can also link to external urls.
The Direct Link module can be used as a handy way to cut out unnecessary clicks within the platform. For example if you have only one Q&A then instead of using the standard Q&A module, try adding a direct link and linking to this particular Q&A to cut out the unnecessary menu page.