TMySQLDirectQuery component is intended for high-speed (3-4 times faster than with using of TMySQLQuery component) data fetching.
TMySQLDirectQuery allows to execute SQL queries and retrieve resultsets with very high performance. Meanwhile, it is not TDataset-compatible. This means that it can't be assigned to TDatasource.Dataset property and you can't use it with visual DB-controls. TMySQLDirectQuery is usually used in tasks where data require some processing without displaying it with/within visual DB-controls.
There are two nice examples of usage of this component:
This component is used only for fetching data. That means that you can run queries that return resultset (SELECT, EXPLAIN, SHOW and so) with this component. If you need to run data modification or administration queries (INSERT, CREATE TABLE, COMMIT and so on) you can use TMySQLDatabase.Execute method. If you need to get single value from database (1 row X 1 field resultset) you can use one of TMySQLDatabase.SelectXXX methods.