A nickname for the lifestyle of Rock stars. The three things are stereotypically connected, and none can be separated from the others.
Basically, the idea is that the lives of rock stars are in their bigger part those three things: having sex (with fans), using drugs(often illegal ones), and performing (this is what the rock and roll stands for).
Examples to Rock stars that lived the "sex, drugs, and rock n roll" way:
1) Elvis Presley. Died of drug abuse.
2) Guns and Roses. The guitarist Slash nearly died of drug abuse.
3) Queen. Vocal Freddy Mercury died of AIDS after being infected by having unprotected sex.
If you looked up sex, drugs, and rock & roll in the dictionary you'd see a picture of Motley Crue. In the 80s and 90s all four members of Motley Crue got more ass than a toilet seat and did enough drugs to kill a wild Keith Richards (and almost Nikki Sixx in 87).