If the range of $f(x, y)$ is $\Bbb R$, which I assume here, then:
For any vector $\vec w = (w_x, w_y)$ at $(x_0, y_0)$, we have
$D_{\vec w}f(x_0, y_0) = \lim_{t \to 0}\dfrac{f(x_0 + t w_x, y_0 + tw_y) - f(x_0, y_0)}{t} = \nabla f(x_0, y_0) \cdot \vec w. \tag{1}$
Now if
$\nabla f(x_0, y_0) = 0, \tag{2}$
then clearly
$D_{\vec w} f(x_0, y_0) = \nabla f(x_0, y_0) \cdot \vec w = 0 \tag{3}$
for all $\vec w$; if
$\nabla f(x_0, y_0) \ne 0, \tag{4}$
then we may choose $\vec w$ normal to $\nabla f(x_0, y_0)$, e.g.,
$\vec w = (-f_y(x_0, y_0), f_x(x_0, y_0)) \ne0, \tag{5}$
where $\nabla f = (f_x, f_y)$. Since $\vec w \ne 0$, we may take
$\vec u = \dfrac{\vec w}{\Vert \vec w \Vert}; \tag{6}$
we then have
$\Vert u \Vert = 1, \tag{7}$
and
$D_{\vec u} f(x_0, y_0) = 0, \tag{8}$
as desired.