Directly means "without changing direction." When you head directly for the food at a party, you walk straight to the snack table, without stopping to chat on the way.
The adverb directly is useful for talking about something you do in a precise, immediate way, without pausing or getting sidetracked. If you land "go to jail" when you're playing Monopoly, you have to go directly to jail, and if you arrive late at the airport, you'll want to run directly to your gate. In the 1500's, directly meant "in a straight line," from the Latin root word directus, "straight."