Many directories dropped at your door have opt-out instructions on the front or the inside cover. Otherwise, contact the company that distributes the directory.
The Yellow Book
800-929-3556
Verizon (Idearc)
800-888-8448 or 800-555-4833
Dex
866-606-9339
If you opt out of Dex delivery you will receive a door hanger during distribution confirming your choice.