You can find below the proof due to G.M; Tuynman, of the third Lie theorem.
The proof is similar to using the theorem of Ado, but requires an 'advanced' result:
the fact that for a simply connected Lie group $G$ not only the first de Rham cohomology space $H^1(G)=\{0\}$ but also $H^2(G)=\{0\}$.
http://ifile.it/hy0q139
In the Godbillon book, the Künneth theorem that identifies the cohomology of product manifolds with the tensor product of their cohomologies: $$K : H(M)\otimes H(N)\rightarrow H(M\times N)$$
If $M$ is compact, $K$ is an isomorphism.
There are two things I can not understand, among others:
Godbillon consider $d=K^{-1}\circ\mu^\star$, where $\mu$ is the multiplication on the Lie group $G$, and $K$ is invertible, the compactness is it essential for $K$ to be an isomorphism?!
Godbillon theorem shows in his page 202, with $d$, if $G$ is connected then the smallest integer $q>0$ such that $H^q(G)\neq 0$ is odd. First, $G$ must be compact? Why $H^1(G)=0$? This is not a consequence of the above theorem where compactness is essential!