Direct warping is achieved by making a loop with yarn straight off the spool, taking it from the back of the loom, passing it through the slots in the rigid heddle (the spaces between the heddles) and dropping the loop of yarn around a peg or other anchor point some distance from the loom.
This method is good for the beginning weaver or if you have a short warp. If you have a longer warp or a really wide project, it's recommended that you warp indirectly by making and using warp bouts that are prepared in advance. I find indirect warping easier, but if you're first starting out and just want to get going, then this is the method for you.
Here's the best videos I could find on direct warping. The first one is the very best. Enjoy!