OK, Let me first say if you have a method that works for you for downloading games and music, you're better off sticking with it because Direct Connect can be a pain in the ass. I can't say that I like it too much, but that is because it is basically built for people with fast connections, and I don't have one. It's good enough that I figured I'd post about it so somebody else could try it if they wanted.
Direct Connect is a peer to peer program. It works differently than most though. You open up the software and it connects to the main server. This is the server that shows you the 'hubs' You have to find a hub that suits your needs. There are hubs with rules, some without. Some of the rules may be: at least x amount of open slots for uploading, you have to share x gb, no 56k...
There are hubs for Dreamcast, PSX, Movies, Music, PC games or a mix of any of those.
So you connect to a hub (I'm pretty sure these are hosted on people's personal computers) and you see a list of connected users. You just browse what they have. It's like a chat room that you can download things from.
If anyone wants to try it, knock yourself out:
http://www.neo-modus.com