How do I download directx?

You don't. DirectX is tightly integrated with the Windows OS. It will not run natively in OS X (with Crossover or otherwise). You will need to install a version of Windows either using BootCamp or virtualization (Parallels, VMware, VirtualBox). DirectX performance isn't great under virtualization however. Your best bet would be using BootCamp.

For starters, I see CrossOver does semi-support DirectX versions 7, 8, and 9. They give support a silver status which indicates you can expect it to be buggy. Considering how complex DirectX is, even a little buggy is a problem.

You can find guides to using BootCamp from Apple here:

http://www.apple.com/support/bootcamp/

The BootCamp Setup Assistant should make the process fairly painless. Note that once you start installing Windows, the Windows installer will install on whatever partition you select. You should select the partition labeled "BOOTCAMP". Selecting any other partition may overwrite your OS X install. The guide posted at the above link makes all of this clear. As it's important to follow the procedures carefully, you may want to see if you can bring up the guide in your native language just to ensure there won't be any confusion.