You should clarify what you mean by third party library for unreal project, as there are a few possible ways to build\include third party libraries
But assuming the simplest case, that your library is a separate UE’s module included as a plugin\dependency - here you should mark the classes & other things you export with __declspec(dllexport). In terms of UE it means - add the %YOUR_MODULE_NAME%_API macro (so for module named MyLib the macro will be MYLIB_API ) before the the entities you need to export