Do I need to buy like a molex connector or something?
you probably bought a logisys brand cold cathode rite?
like this http://www.newegg.com/Product/Product.aspx?Item=N82E16800888027&cm_re=cold_cathode-_-00-888-027-_-Product
dont worry, its probably a good chance that your PSU has a free Molex connection for the lights, but to be safe look in your system for this kind of connection http://media.photobucket.com/image/molex%20connection/abaraba/tutorial-4pin_molex_power_conn.jpg
The guide that Motopsychojdn gave you should really help out