DICOM directory text file (DICOMDIR) is optional, it shouldn’t be a problem that you don’t have it. If you want, you can create one using the dcmmkdir tool of the free DCMTK toolkit.
What kind of file are you trying to export from Slicer and load into Brainlab?
You may also be able to push DICOM files from Slicer directly to the navigation system using DICOM networking (C-store SCP).
If you have license for OpenIGTLink communication in Brainlab then you can even stream tracking data, images, and landmark points in real-time between Slicer and BrainLab during a procedure.
Use most latest stable or recent preview release of Slicer. I would recommend the latest preview release, as the DICOM browser and networking are much more robust, faster, and easier to use.