The present invention provides a Direct Link Setup (DLS) method performed by an Access Point (AP) in a Wireless Local Access Network (WLAN) system. The method includes receiving a DLS request frame, requesting to set up a Direct Link (DL) from a DLS initiator, transmitting an Async-DLS request frame including information about a channel on which the DL is scheduled to set up to a DLS responder indicated by the DLS request frame, receiving a DLS response frame from the DLS responder in response to the Async-DLS request frame, and transmitting an Async-DLS response frame, including the information about the channel for which the DLS will be performed in the DLS response frame, to the DLS initiator.