l3yuh if you go and drop-off your CV in Dubai headquarters they will only accept it in case you are fluent arabic speaker. But if you're not, you'll have go to an OD or apply for an AD in your own country or the nearest one.
As for applying through agencies or not, I wouldn't know... in my country there's an agency but it doesn't make a difference really because you can get selected by them and then go to the AD; or by Emirates in the OD and then go to the same AD...