Direct Access means that the files or folder is belong to the user who has original permission to access of your OneDrive location or SharePoint library.
Firstly, Log into onedrive at https://onedrive.com
Once logged in, you will see your file structure. Select on the folder you want to provided direct access to.
On the left hand side, you will see Direct Access.
Select the + sign
If you would like to give a user with Direct Access to your OneDrive files or folders. Here are the steps you can do.
1: Click Advanced option in the right bottom corner.
2: In the permission settings opened, Click Stop Inheriting > Grant Permissions
3: Then Invite People to this file/folder you would like to. (Don’t use Get a link or Share with in order to give Direct access) and choose the permission level you would like to give to the invited user.
4: After these steps, the users you invited will get Direct Access.