rocky2889, First off, the N5200 as delivered, runs the linux OS which can not run the DirectUpdate software as it is "Designed for WindowsXP". It is also closed source so you can compile it yourself for linux. So far Thecus has not provided any way to add your own code modules to the N5200, much less any way to even access a command shell.
Another choice is to install Windows onto your N5200. I haven't heard anyone do this yet. I'm considering trying soon though...
Even if your N5200 is hooked directly to your cable/dsl modem, it doesn't seem to be the place you'd want DirectUpdate running. You should still just install software on your PC. The DirectUpdate software is just sync'ing your external IP address to your domain name. If you want to access your N5200 across the internet, and your N5200 is behind your NAT/router/firewall, you'll have to forward the associated ports.
Many people just use their NAT/router/firewall's built in software to do this IP/DNS sync'ing with free services such as DynDNS.