Before you begin, ensure you have an AWS account. Log into your AWS Management Console, and create an S3 bucket where you want to store your exchange rate data. Note the bucket name and region, as you will need this information later.

Identify the exchange rates API you wish to use and obtain the necessary API key or credentials. Ensure you have read the API documentation to understand the endpoint, request methods (GET/POST), and response format (JSON/XML).

Use a programming language of your choice (e.g., Python, Node.js) to write a script that sends a request to the exchange rates API endpoint. Parse the response to extract the necessary exchange rate data. For Python, you can use libraries like `requests` to handle HTTP requests and `json` for parsing JSON responses.

Example in Python:
```python
import requests
import json

api_url = "https://api.exchangerate-api.com/v4/latest/USD"
response = requests.get(api_url)
data = response.json()
```

Process the fetched data to a suitable format before uploading it to S3. You can save the data as a CSV or JSON file locally. This step involves iterating over the data and writing it to a file using Python's `csv` or `json` module.

Example in Python:
```python
with open('exchange_rates.json', 'w') as f:
json.dump(data, f)
```

Install and configure the AWS CLI on your machine to enable S3 access. Run `aws configure` and input your AWS Access Key, Secret Key, region, and output format. Ensure your IAM user has permissions to write to the S3 bucket (e.g., using the `AmazonS3FullAccess` policy).

Use the AWS CLI to upload your file from the local machine to the S3 bucket. The `aws s3 cp` command can help you transfer the file. Replace `` and `` with your specific details.

Example:
```bash
aws s3 cp exchange_rates.json s3:///exchange_rates.json
```

If you want to automate the data transfer process, use a cron job (on Unix-based systems) or Task Scheduler (on Windows) to run your script at regular intervals. This ensures your S3 bucket is always updated with the latest exchange rate data.

Example of a cron job (runs daily at midnight):
```bash
0 0 * * * /usr/bin/python /path/to/your/script.py
```

By following these steps, you can successfully fetch data from an exchange rates API and store it in an S3 bucket without using third-party connectors.