put your library at [magento]/lib
folder
for example your library is PhpExcel so you have to put it in [magento]/lib/PhpExcel
and include your library in magento file before call.
$includePath = Mage::getBaseDir(). "/lib/PhpExcel/Classes";
set_include_path(get_include_path() . PS . $includePath);
so you have create object of PhpExcel library to access it
$objPHPExcel = new PHPExcel();
for your reference download PhpExcel Export and check directory structure as well way to access external library in magento.
it create a object in [magento]\app\code\local\Conlabz\Mreport\controllers\Adminhtml\ExportController.php
hope this help you