You can have an IMP module depend on some external library. See the files modules/kernel/dependencies.py and modules/kernel/dependency/Log4CXX.description for examples.

Think very carefully before introducing a new external dependency. Each additional dependency makes it harder for people to use your code. If you do need to add a dependency, it needs to be open source and available under a suitably permissive license (for example if it is available under the GPL then you cannot license your module as LGPL, but will need to also make it GPL).

Generally if you need to add a new dependency you should probably also put your code in a new module, rather than adding it to an existing module. That way, people that elect not to install that dependency will only be deprived of your code, not of the existing module.