Well, "third party" apps can typically be installed just fine using the Marketplace. Assuming these aren't marketplace apps, the word you're probably looking for is "homebrew" and in order to install them, you'll need to developer-unlock your phone. The only currently-known way to do that is to get an AppHub account from Microsoft. Students can get a free one, but limited to three unsigned apps at one time. A paid account is $99/year and allows 10 apps.
Additionally, note that a basic developer-unlock is not sufficient to install all homebrew apps. Some require extra permissions. These apps almost certainly won't even work on a Lumia right now, since they use OEM-specific hacks. However, you won't even be able to install them, because they require an additional level of unlock, called interop-unlock, which is not available on Nokia phones right now.
We (various members of the hacking community, such as myself, Jaxbot, and Heathcliff74) are working on finding new methods of unlocking the phone. These things take time, though.
Win8/Windows RT projects:
List of desktop apps for hacked RT devices
Native Access WebServer and Libraries
WP8 Interop Unlocks
XapHandler, Root Webserver, OEM Marketplace XAPs, Bookmarklets collection (Find On Page), Interop-unlock hacks.