Provided are a Tunneled Direct Link Setup (TDLS) establishment method for a TDLS initiator and a station supporting the establishment method. In the establishment method, a requesting Non-AP QSTA transmits a TDLS setup request frame via an access point (AP) to an intended peer Non-AP QSTA. And, the requesting Non-AP QSTA receives a TDLS setup response frame via the AP from the intended peer station in response to the TDLS setup request frame. And, the requesting Non-AP QSTA transmits a TDLS setup confirm frame via the AP to the intended peer station in response to the TDLS setup response frame.