It is not possible to call external binary code when using SLDRT in External Mode. This is a fundamental limitation that has to do with how SLDRT External Mode works.
The reason is that the code for a DLL, LIB or EXE is compiled for Windows, which is an environment completely different than the SLDRT kernel. This means that the Windows API is not available at all, memory allocation is done in a very different way, and calls to all these Windows functions are already compiled to the binary and this cannot be changed. As an example, let's take malloc() - although it looks the same in Windows source and in SLDRT source, it does very different things when compiled. Another way to look at the reasons - no-one would probably try to use a binary library compiled for Windows in Linux, although the source code of the library may be compilable for both.
Note that the same limitation does not apply for Normal or Accelerator Mode real-time simulations. To learn more about the different SLDRT simulation modes, see the following MATLAB Answers article: