In the American system, a third party votes is usually the same as abstaining. If you are a conservative that would be dumb since Trump (who is basically a middle of the road, centrist Republican with a loud mouth) is clearly preferable to Clinton (who is very far to the left, and whose party is even further to the left).
The only time a third party candidate won was in 1860 but that year both parties split so there was a four way race (won by a candidate with under 40% of the popular vote, and BTW a civil war ensued).