What is a direct message?
Direct messages (DMs) are a private, 1-on-1 conversation between users. You can think of a DM as a private group with anywhere between 2-10 members. It's like an email, but easier. You will see DM's on your left sidebar under "Direct Messages".
DM's are useful for when students want to privately message a question or comment to their instructor/TA. Direct Messages work the same way as any other channel, so you can send attachments, videos, polls, etc. These work great for smaller group projects, as well, if you don't want to create your own Private Channel for them.
Click here for more on creating a direct message.