With imperatives, the subject is "you". We don't say the "you" because the person we are talking to will understand. So "Listen" means "You listen.". We don't use imperatives with "they", so you will have to express it a different way. Either "They have to listen to me" or "They must listen to me" are fine, but they are not imperatives.

So, as Jmat says, there isn't really a 3rd person (e.g. "he", "she" or "they") imperative, but there are certain expressions, usually in rather fixed phrases, that use subjunctive constructions to similar effect, such as "Long live the Queen", God bless America" or "Go Raiders". (Of course, since verb conjugation in English has mostly been lost, you can't readily tell that they are subjunctives, but that's the origin of them.)

"Listen to me." In the imperative, we put the verb at the beginning of the sentence. Quite simple!

Edit: I only addressed the question of "How do we make imperative sentences with they?" here. To simply give the listener an instruction, you just have to use the verb without a subject (as per Brandon's answer). English doesn't have a third person imperative. A year and a half ago I was confused about third person imperatives in Italian and I got this answer: "English doesn't really have an equivalent of the third person imperative, but it can often be roughly translated by phrases such as: Let him/her/it..., May he/she/it..., He/she/it can..." https://www.italki.com/question/270654 Since my native language doesn't have third person imperatives it's difficult for me to imagine a situation where you'd need to use a third person imperative - in my mind an imperative is an instruction to the listener. Is there any information that you think a third person imperative conveys that "They have to listen to me" does not? Maybe something like "Tell them to listen to me" or "They'd better listen to me" would be better instead?