Adding web service references and dll references are standard asp.net programming. Nothing special or different using it within Kentico.
Right click the website and Add either a Reference and navigate to the dll or a Service Reference and add the web service.
How you interact with it after that is related to how you work in Kentico. For instance, if you want to call a 3rd party service every time someone updates a User, you'd check out the Global Events document I linked to earlier and use the Global System Object event
UserInfo.TYPEINFO.Events.Update) to capture the updating of the user and then make a call to your 3rd party api to send info to it.