What app are you using? is it XMC?
Almost all SNMP systems allow you to add MIBs, but many MIBs have multiple dependencies, so you will need to install all the MIBs that your MIB is dependent on. So check the IMPORTS section of the MIB and ensure that you either have all the MIBs there or that they are already somewhere in your path.
As you don't specify in your post what system you are using I will use Net-SNMP as an example. there are some MIB directories that are there by default.
$HOME/.snmp/mibs
/usr/share/mibs/netsnmp
/usr/share/mibs/iana
/usr/share/mibs/ietf
/usr/share/mibs/site
Thus your custom (third-party) MIBs should be placed in either $HOME/.snmp/mibs or a directory that you then specify on the command line with -M or -m.