Direct importing/exporting: means that while you’re in a database such as ProQuest, you can send selected records/references directly to your citation management account (RefWorks or Endnote Web).
Indirect importing/exporting: means that when you’re in a database such as the Cambridge Companions, you must first save selected records into a file (usually a text, or .txt, file), and then from within the citation management system, you import that file.
Importing vs. exporting: both words describe the basic action of getting citations from a database into the citation software without needing to re-key them. The two names just reflect your starting point! For example:
Starting from inside a database, where it's usually called 'exporting'
Starting from inside the citation management software, where it's called 'importing'