I'm trying to add Links SQL in and I get this error:

Column names can only be letters, numbers and underscore '_'. They can not contain spaces or other characters.

Am I suppose to put something into the keywords and location parts?

Try this;

Keyword: linkssql
Type: Local/LinksSQL
Autocreate: Yes
Local/Remote: Local
Location: /home/yourdomain/public_html/cgi-bin/admin

The Location field should be set to be the same as your "admin_root_path" for LinksSQL.
Goto your LinksSQL admin / setup / Paths & URLS to find your "admin_root_path"
This worked for me.

Don't forget to add the community plugin in your LinksSQL setup.

Cheers,
Piers

And how can we add third-party apps to Community? vBulletin for example?

The only way I got something similar to work was by using a PHP specialist (I integrated Photopost).

There were problems, because community doesn't support user groups. It does work very well now, but I have a feeling you will need to approach a vB specialist. My specialism is eating chocolate, so I'm probably not the best for this kind of job.
Cheers,
Piers