In the early days of Windows gaming, "DirectX" wasn't just a background update; it was a physical necessity often found on game discs to bridge the gap between software and diverse hardware.

The concept of downloading DirectX as a compressed file has changed over three decades of Windows history: DirectX End-User Runtimes (June 2010) - Microsoft

For modern users, downloading a usually refers to the offline redistributable —a massive archive used to fix missing .dll errors or install DirectX on machines without internet. The Evolution of the "DirectX Zip"