You can wrap the management of resources used by the 3rd party code with code that implements IDisposable
which will allow the .NET garbage collection to be used to free up resources (file handles etc.) that you are no longer using.
Other benefits - standard for pretty much all 3rd party code include:
You are insulating most of your code from any changes that might occur in the 3rd party dll in the future. If anything changes you just have to change the implementation in your wrapper class. The rest of your code remains unchanged.
You could also build in caching, validation and error checking into the wrapper class if any of these were lacking in the unmanaged code.