For $J \subseteq I$, let $M_J$ be defined as the direct sum
$$\bigoplus\limits_{i \in J} M_i$$
By definition, this is the $R$-submodule of the cartesian product $\prod\limits_{i \in J}M_i$ consisting of all elements $(m_i)$ such that $m_i = 0$ for all but finitely many $i \in J$.
Since I'm not sure of your definition, let me use the use the following definition: The sum of the $M_i : i \in J$ is direct if and only if the $R$-module homomorphism $\phi_J: M_J \rightarrow M$ given by
$$(m_i) \mapsto \sum\limits_i m_i$$
is injective (equivalently, is an isomorphism onto its image $\sum\limits_i M_i$, the submodule generated by the $M_i$).
Assume that for each finite subset $F \subseteq I$, the sum of the $M_i : i \in F$ is direct, i.e. $\phi_F$ is injective. Let $m = (m_i) \in M_I$, and suppose that $\phi_I(m) = 0$. We want to show that $m$ is zero, i.e. all the $m_i$ are zero. Already, we know that all the $m_i$ are zero except for those $i$ in a finite set $F = \{i_1, ... , i_r\}$.
Let $$n = (m_{i_1}, ... , m_{i_r})$$ which is an element of $M_F$. Our hypothesis is that
$$0 = \phi_I(m) = \sum\limits_i m_i = \sum\limits_{j=1}^r m_{i_j} = \phi_J(n)$$
and since $\phi_J$ is injective, this means that all the $m_{i_j}$ are zero, as required.