To set up direct deposit, after running the review for the federal (and state, if your state has income tax), proceed to File. During Step 2 of 3, you will be directed to choose whether you want to e-file your return and how you wish to receive the refund. The bank account information would be entered then.
For more information, see: What are the different options for getting my federal (IRS) tax refund?
What if I entered the wrong bank account for direct deposit?
