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 a Member State has signed up are directly applicable (not to be confused with ‘direct effect’ – see below) as laws of that Member State.
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 a Member State. EU Directives, on the other hand, do not automatically form part of a Member State’s law (they are not directly applicable), but they are binding as to the result to be achieved. It is for Member States to decide how Directives should be implemented into domestic law. EU decisions are legally binding, but only on the parties to whom they are addressed.
Even if an EU law is directly applicable in a Member State 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).