DirectX plugins are like VST plugins, allowing you to filter audio or midi streams through them. You can use them the same way as the VST plugins.
Note: Turbo Play support for DirectX effects is still experimental; There is a DirectX Visual Linker which is primarily intended for video and not audio. Also, because DirectX plugins are generally not designed for low latency, it is probable that they won't work correctly with your sound card. Try to find a VST version of the plugin; All serious plugins are distributed in VST (and most of them exclusively).