A direct method for the computation of energy second derivatives, and first derivatives which require the solution of the coupled perturbed MC-SCF equations, is presented. The two-electron derivative integral transformation is formulated in terms of 3 transformed integrals. The optimum strategy for the solution of the CP-MCSCF linear equations involves the solution in a Krylov space that involves all the right-hand sides. The feasibility of the method is demonstrated in a computation on the excited states of indene, styrene and octatetraene.