I am trying to understand better direct image sheaves. To do so, I want to start working in a particular and easy example.
Let $\pi:X\rightarrow \mathbb{P}^2$ be the blow up of $\mathbb{P}^2$ in a point, and $E\subset X$ the exceptional curve. What can we say about $\pi_*\mathcal{O}_X(E)$ or $\pi_*\mathcal{O}_X$? Are they invertible sheaves? If so, which is the integer $n$ such that they coincide with $\mathcal{O}_{\mathbb{P}^2}(n)$?
More in general, we can ask the same questions about the sheaves $\pi_*\mathcal{O}_X(aL+bE)$, where $a,b\in \mathbb{Z}$ and $L$ is the pullback of a line in $\mathbb{P}^2$.
$$0\rightarrow \mathcal{O}_X(-E) \rightarrow \mathcal{O}_X \rightarrow \mathcal{O}_p \rightarrow 0$$ Applying $\pi_*$, we have that
$$0\rightarrow \pi_*\mathcal{O}_X(-E) \rightarrow \pi_*\mathcal{O}_X \rightarrow \pi_* \mathcal{O}_E = \mathcal{O}_p \rightarrow 0$$
where here we note that even though $\pi_*$ is not right exact in general, it is here because you can check by hand that the map is surjective, hence the claim. You can repeat this argument for $\pi_*(\mathcal{O}_X(aE))$ for any $a<0$.
Tensor the above short exact sequence by $\mathcal{O}_X(E)$ and apply $\pi_*$. We have that the following sequence is exact:
$$0\rightarrow \pi_*\mathcal{O}_X \rightarrow \pi_*\mathcal{O}_X(E) \rightarrow \pi_* \mathcal{O}_E(E)$$
Now we claim that $\pi_*\mathcal{O}_E(E) = 0$. Since this is supported on $p$, this is the same thing as the vector space $H^0(E,\mathcal{O}_E(E))$. Now using the fact that the self intersection of $E$ is $-1$, $\mathcal{O}_E(E)$ is a line bundle of degree $-1$ on $E\cong \mathbb{P}^1$ which has no non-zero global sections. Hence we deduce that $\pi_*(\mathcal{O}_X(E)) \cong \pi_*(\mathcal{O}_X)$. You can repeat this argument for $\pi_*(\mathcal{O}_X(aE))$ for any $a>0$.