1) Cut the connector in half and just stick each individual wire on the
MB header:
2) Look at it carefully and you'll see a bit of plastic locking in the
metal pin. Prise up the plastic carefully on one of the pins, pull the
pin out and put it in the adjacent hole.
Are you sure there isn't another connection elsewhere on the
motherboard for the 3-pin power LED? My case came with a 3-pin LED
wire and the connector for it on the motherboard wasn't with the other
front panel header connectors.