You can use a VisualStudio Solution folder - see
http://msdn.microsoft.com/en-us/library/haytww03(v=vs.80).aspx
This is good if you have more projects in one solution referencing your 3rd party lib.
If you want your lib to be used in different solutions it could be installed in the GAC and refenced from there (I don't like this, because I think every project should be independent from a special developer machine) - So I'd copy it to a special "include" folder for every solution.