1) Compactifying IIA string theory on a Calabi-Yau 3-fold X, we get in the four non-compact dimensions a theory with N=2 supersymmetry. D6-D2-D0 branes wrapped on X, with one non-compact direction (time direction), define BPS particles in 4d.
2) The spectrum of BPS particles in a N=2 4d theory depends on the vector multiplet background (in the vector multiplet moduli spaces, there are real codimension one walls along which the BPS spectrum changes). For IIA on X, the vector multiplet moduli space is the stringy Kähler moduli space, which near the large volume limit, is parametrized by the Kähler class on X and the B-field. Donaldson-Thomas invariants (in the geometric sense of counts of ideal sheaves) are counts (more precisely supersymmetric indices) of the BPS states, of charge (1,0,β,n), in the large volume limit (large Kähler class) and large B-field.
If one considers IIB on X, one gets another N=2 4d theory, and D5-D1-D(-1) branes completely wrapped on X define instantons (in the broad sense of spacetime localized objects) in 4d. These instantons give quantum corrections to the hypermultiplet moduli space, which is a torus fibration over the stringy Kähler moduli space of X. These instanton corrections depend on the precise locus in the stringy Kähler moduli spaces and Donaldson-Thomas invariants enter these instanton corrections in the large volume and large B-field story.
These two stories, IIA or IIB on X, with Donaldson-Thomas invariants counting either particles or instantons in 4d, are compatible, as is clear by a further compactification on a circle. Compactifying IIA on X×S1, the vector multiplet moduli space becomes a torus bundle over the stringy Kähler moduli space, with 3d instantons corrections coming from BPS particles in 4d wrapping the circle direction. Applying T-duality along the circle, one exchanges IIA and IIB and we get exactly the IIB hypermultiplet moduli space, with corrections now coming from instantons in 4d.
3) The thickening has to do with multiple branes coming together and with possibly non-trivial Higgs vev turned on (see eg https://arxiv.org/abs/hep-th/0309270 )