I know that in xbees i can connect the xbee module directly to my pc using the USB explorer. But I'm using the nRF24L01 RF modules. I want to transmit from my pc, via the RF transmitter to my RF receiver, which is connected to my arduino. How do I connect this RF module directly to my PC?
The nRF24L01+ uses SPI. PCs don't (usually) have an SPI interface. So you will need some piece of hardware to provide the PC with an SPI interface.
That could be an Arduino, or it could be a dedicated SPI dongle, such as one based around the FT2232 chip.
Of course, you then would need to write software to use that SPI interface and work with the nRF24L01+ connected to it, including using the same message format / packet system, which won't be a simple task. So you may be better off just using a small Arduino to do the communication and present you with a simple serial interface for sending / receiving messages. That way you can then use the same nRF24L01+ software that you are using elsewhere in your setup.