RJC is correct. However, yes, you can solder it.
I recommend against it, as your description doesn't suggest great electronics knowledge. In particular the word 'live' sounds warning bells. If you want to continue anyway,
Molex reads 12V 0V 0V 5V across the wires, yellow is probably 12V and red 5V.
3 pin fans are 12V, 0V and rpm. The rpm feature doesn't translate well to molex, fan speed is controlled by varying the 12V downwards.
Normal process is cut two of the three fan wires at the plug, leaving the rpm sensor attached to the plug. The two remaining are 12V and 0V. Solder these onto the molex as wished, 12V available from yellow and black, 5V from red and black, 7V from yellow and red. Connecting the wires up the wrong way would be bad, don't do that. I hope you have a multimeter to check the voltages. Otherwise find a pin out of a 3 pin plug, I know rpm is at the edge but I'm not sure about the other two. If you strip a patch of the wire, then plug it in you can find out using a multimeter.
Finally, I still recommend buying the adapter, as this is kind of a case of if you have to ask how to do it, you probably shouldn't be doing it
Good luck