I know I filed my taxes and it is saying that my federal taxes were not received but I know I filed them. I also want direct deposit. I don't know what to do.

Did you efile your taxes or did you print and mail them?

You can confirm that an efiled return was submitted and accepted using this link: https://shop.turbotax.intuit.com/efile/efile_status_lookup.jsp

What does it say?

If you printed and mailed your return, you had to print and mail it yourself. TurboTax does not print and mail it for you. If you didn't efile it, did you print and mail it yourself? 

TurboTax gets no information about the status of your refund.
In normal times, the IRS says that most filers get their refunds within 21 days from the time their tax return is accepted.
Many returns are taking longer now since the IRS did not process returns for a while and there is now a big backlog of unprocessed returns.
The IRS is currently not processing any mailed returns. The tracking web site will not show the IRS has received a return until they start processing it. The IRS is not currently accepting any phone calls. 

Here is an IRS Q&A with information about refunds:
https://www.irs.gov/refunds/tax-season-refund-frequently-asked-questions