How do I link these to data in third party programs?

You need to be able to connect to the 3rd party data as a DATA SOURCE.

Use DATA > IMPORT EXTERNAL DATA > IMPORT DATA

This will list all the data source names.

Create a new one, by clicking on the top of the list, and identifying the
NAME
DRIVER
DATABASE LOCATION

If all of those are successful, then you can use the source to create a pivot table, by choosing EXTERNAL DATA SOURCE on the first step of the Wizard

Regards

Richard