First you'd have to get permission from the author/publisher to compile their third party code into your standalone executable. I have the PLS Toolbox and there is an extra licensing fee if you want to compile that is separate/additional from the regular license fee for using it in the MATLAB runtime environment.
Even if it's "open source" you need to check out the license to make sure you can legally do that.
So, assuming you can, you need the MATLAB Compiler Toolbox. See the FAQ:
(Sorry I don't read Chinese so can't tell what your screenshot is saying.)
