It doesn't mean directory per se, basically what is happening is that directories that end in '.d' (note these are usually only ever in /etc), take configuration parts.
This is designed so distros can include universal defaults in for instance /etc/yum.conf, but then there is a easy to use method for users or other packages to append their own yum configurations in a safe way that won't be overwritten.
As an example for yum...
If I wanted to start using EPEL on my RHEL5 or CentOS Box, I can configure a new repository in the /etc/yum.repos.d folder, (say /etc/yum.repos.d/epel.repo) or install the epel-release package that creates the file automatically, without modifying my default configuration or causing file conflicts that don't need to happen.
What will happen, is most programs will read their default configuration (/etc/yum.conf for instance) and then iterate over their .d folders including configuration snippets into the running program.
Hope it explains it for you.