Not only true third-party software, but also all extensions or add-ons to Panda3D (following the “skel” pattern).
A workaround could be a plugin-system, another one an addon system. After installing panda.exe a user installs panda-addon-x.exe, which copies it’s files (.dll, .so, whatever) into a specific directoy of the panda.exe installation, where it can be found. It would be nice to have a predefined way of building such add-on installer, to make them uniform in behaviour and usage, like the python distutils.
enn0x