There are a few ways to do this. The easiest is to open YourModule.Build.cs and add a line like:
PrivateIncludePaths.Add( "../../../ThirdParty/ThirdPartyLib/include" );
Of course, you can put the files wherever you want, so you’ll need to customize the relative path above.
The more complicated (but cleaner) way is to create a new ThirdPartyLib.Build.cs file in the /Engine/Source/ThirdParty/ThirdPartyLib/ folder, and to set that module type to “External”. After configuring it similar to other engine third party libraries, you can simply change your module to depend upon that module using the normal syntax:
AddThirdPartyPrivateStaticDependencies( new string[] { "ThirdPartyLib" } );
Hope that helps!
–Mike