DirectSetup is part of the DirectX application programming interface (API), and is a simply library of fuinctions for use with DirectX installation on a computer, or to check the installed version.
Other DirectX related glossary:
DirectDraw
Direct2D
Direct3D
DXGI
DirectInput
DirectPlay
DirectPlay Voice
DirectSound
DirectSound3D
DirectMusic
DirectX Audio
DirectX Media
DxDiag
DirectX Media Objects
DirectSetup
XAudio2
