Attach to the psu. It is for the case fans.
With the cables that came with my PSU - the only wire I have which can fit a molex has a male adapter - where do I plug the female adapter that is within the case?
Am I missing something?
The male plug from the psu goes into the female adapter from the case or fan.
Sometimes, fan adapters have both male and female adapters so you can daisy chain fans just like Christmas light strings.