Like the UK legal system, the EU legal system has different tiers of laws. The EU treaties (and the related protocols) are its primary legislation. The treaties and those of the protocols to which the United Kingdom has signed up are directly applicable (not to be confused with ‘direct effect’ – see below) as laws of the UK. The treaties create powers for specified EU institutions to make subordinate legislation, in the form of Regulations, Directives and Decisions. EU Regulations are directly applicable as laws of the UK. EU Directives, on the other hand, do not automatically form part of UK law (they are not directly applicable), but the UK is required to implement them into UK law (and will have some flexibility over how the resulting law is framed). EU decisions are legally binding, but only on the parties to whom they are addressed.
Even if an EU law is directly applicable in the UK, that does not necessarily mean it also has direct effect (i.e. it will not necessarily create rights which are directly enforceable by individual citizens – see here).