I am including a third party header and source file into my project.
At the top of the header there is this:
#if defined(WIN32) || defined(WIN16)
#i
You can simply include the windows header files (windows.h) before including the third party header - as you already found out WIN32 is defined there but technicaly it could be defined anywhere (so if the third party project is not including the windows headers check if it's being defined in the compiler project settins directly).
BTW there is also a _WIN32 define that is set by the compiler, it's possibly a better idea to look for this define if checking if the code is being compiled under windows;