Download the STEP (.stp) model from the Molex web site. Unzip it somewhere sensible. Also open up the datasheet drawing.
Open up your footprint library. Do Tools->New Blank Component.
Since the component is specified in mm in the datasheet, switch to metric units. Press 'O' 'B' to bring up the board options. Switch to metric
Now to place the 3D model. Press 'P' 'B' (for Place Body). Click 'Generic STEP Model', then 'Embed STEP Model' and select the file. Set the X rotation to 90º and the Standoff height to 2.9mm.
Click OK, and place the model on the document. Now drag the purple rectangle by the middle of its lower edge, and snap it to the origin.
Now to place the pads. According to the datasheet, the pads for the connector are 0.85mm x 7.00mm, and are placed 1.50mm apart.
Press 'P' 'P' (for Place Pad), then press 'Tab' to bring up the pad options.
Set the X and Y size of the pad, and make it rectangular. Set the Designator to 1, and the Layer to Top Layer. Click OK.
Now place the three pads on the document. Do the left one first (at -1.5, 3.0), then the middle one (at 0.0, 3.0), then the right one (at 1.5, 3.0). Right click to stop placing pads.
Now press '3' to go into 3D mode. and check that the pads look like they're placed correctly.
Go back into 2D mode '2' to place the silk screen. Switch to the Top Overlay layer, and press 'P' 'L' (for Place Line). Press 'Tab' to set the options, and set it to 0.2mm. Draw in some lines to give an indication of the part size. Don't draw them over the pads.
Now go to Tools->Component Properties. And fill in the properties.
Save the library and you're done.