Direct marketing is a form of advertising: marketing materials are provided directly to the (potential) customers. Direct marketing does not involve advertisements placed on the internet, on television or over the radio. Types of direct marketing materials include catalogs, mailers and fliers.
It is called direct marketing because it removes the "middle man" from the promotion process. Instead, the company's message is provided directly to the potential customer. This type of marketing is typically used by companies with smaller advertising budgets.