When you use a dll from a plugin linked so that the plugin depends on it at load time, the dll won’t be searched from the location where the plugin dll itself is. You could put the dll into the folder where the host’s .exe is, or into Windows’s system folder. Both options are bad and should be avoided.
There is the option of using the external dll so that you load the dll and resolve the functions from the dll manually in your code. Then you can have the external dll in whatever place you like, including the same folder where the plugin’s dll is. This may get tiresome and error prone to do if you need to do use many functions from the external dll, as each used function needs to have its own function pointer and each function pointer needs to be loaded from the dll.
There is no chance for you to build the external library yourself, the library developer only provides prebuilt dll files? If there is a way to build it yourself or at least statically link the library, that would be the best way to do it for plugins.