Let's say that I am walking with someone and point down a road, I say, "I want to go in that direction".
Or I ask someone, "what direction is the ... in?"
This kind of direction. How do I say it?

If it is common to use more than word, or other words not meaning direction, for this sort of thing, please mention that.
please also include how to say, "Directions".
Ie. the directions you were given (to central park), are wrong.