I think you should definitely let the third company know, if only to help them speed things up. As a hiring manager, it has definitely been helpful on both sides of the equation. Nothing helps more than to know if a candidate is under time pressure which can be used to help speed HR up, and nothing is worse than waiting for someone you made an offer to who needs additional time. You have to remember, they likely have a close number two candidate who they have to notify one way or the other.