Direction is just what you think it is, the location of the source of light. Just taking a moment to note where the light or sun is coming from in your background or subject will help you make an informed decision when picking images/elements to fit your scene. Below is an obvious, and perhaps extreme scene but it illustrates my point nonetheless. If the bird watcher was lit from the left or from above, our brains would think, "Something weird is going on" and wouldn't believe the illusion for a second.
Subconsciously, our brain takes note of the uniform effect the light has on both the background and the subject and... Viola! Perfect harmony and integration. The brain is very sensitive to the light source and if the subject were lit even slightly from the wrong angle, it would pick it up in an instant... maybe not consciously, but we'd know something wasn't quite right. Now, to be totally honest here, this model was originally lit quite flat, straight on, but I liked him so much that I relit him in post, thanks to Photoshops tools. This is not something I'd recommend getting into because it take lots of hard work and observational skills that most of us don't have the time or desire to execute... but it a pinch, I did it and it worked. It's better to know what you need and either get it right in camera or as you shop for stock images. But I digress...
Here's a more subtle but very realistic example of matching up direction of light but it goes a long way toward perfect integration. The athlete is standing close to the windows at camera right so that told me that I need a model that is lit more from the right. See how nicely he blends in? Granted, he has an edge light on the left but the predominant light is from the right.
Here's a good opportunity for me to jump in and introduce "Quality" of light. Generally, standing near a big light source like windows produces a soft light source. By soft, I mean that there are no harsh edges to the light and it falls off or fades gradually as it wraps around an object. Using a model that was lit in hard noon daylight wouldn't work and would make you think there was a hole in the roof or the wall and the sun was hitting him through that hole. So scroll back up and let's take a second look at our bird watcher friend. Notice the quick fall off of light. Very quick transition. He goes from being very bright to suddenly very dark. That's because the sun is a "small" source of light in relation to the subject. The rule here is the bigger the source of light in relation to your subject, the softer the light. So in the case of the athlete, we have a big source in the windows, and small, distant source in the case of the birdwatcher.
So think about the direction and quality of light next time you're setting up your lighting. To get your model to match the background, take note of the direction of the source AND the size of the source of that light in relation to the subject. Want softer light but don't have a big soft box? Just move it closer so it'll be bigger in relation to the subject. Want the light harder to mimic the bright afternoon sun? Then move the light farther away to make it smaller... you guessed it, in relation to the subject.
These two qualities will go a long way towards helping you create believable composites that please the eye... and brain. Learn to identify it and recreate it in studio and you're good to go! Don't you love messing with people's minds? That's what LayerCake and the Studio Magic panels are all about. Well, what are you waiting for? Happy lighting and happy compositing!