You will not be able to return them to Direct TV since they do not accept them. You will have to recycle them. Just throwing them out is illegal. They have dangerous and precious metals like Mercury and Gold in the electronic boards and wiring inside the box. Most Best Buy stores will take your old electronics for recycle.
If you have old cable boxes from direct TV that you paid for and you no longer need them, you can recycle them by taking them to a recycling center near your location. The recycling center will have proper equipment and procedures that they will use to recycle the old cable boxes.