To compile up the HaskellDirect generated COM client stubs, you'll need to supply the following command line options
ghc -c myStubs.hs -fglasgow-exts -i<path to hdirect libdir>
To build a COM client binary using ghc, you'll have to include a bunch of libraries on the command line:
ghc -o main main.o myStubs.o -fglasgow-exts \
-L<path to hdirect libdir> -lcom -luser32 -lole32 \
-loleaut32