Direct Sales relates to stores, both physical and online. These retailers specialize in selling such products.
Heroclix is typically sold in physical gaming stores or comic book stores.
Online stores such as Troll and Toad offer Heroclix figures.
Special sets are often offered as special releases called Target Exclusives that are not available in physical Direct Sales stores, but can be purchased after release often by private sellers online on sites such as eBay.