Fuel needs a supply of air to burn and so normally a stove will take a certain amount of air from the room in which it is installed. This air has to come from somewhere and therefore the same amount of air is drawn into the house through vents or openings. This can create cool draughts. Luckily the air which a stove needs to run is nowhere near as extreme as the amount of air drawn up through an open fire.
A stove with a direct air supply will have a spigot which allows you to connect it to an air duct which leads outside. The direct air spigot is usually at the back of the stove near the base, or sometimes it is underneath the stove so that the connection to the duct can be kept discrete. The installation instructions for the stove will normally detail how the direct air is connected