A DI box, or a direct injection box is an audio device that allows you to plug instruments into an audio system. I was going to create a video to cover the basics but I came across a very good description that gets into the nitty gritty details about how the direct injection box would work.
This video goes into describing the differences between Active and Passive DI boxes, why you would choose one or the other, and also the basic setup for the device.
I often use my DI box in the thru mode in order to record my guitar dry while still sending a signal to my amp.
freqControl.com - How To Use a Direct box from freqControl on Vimeo.