This is a hard ruling. One of two answers:
No. Undermine has to have a target to be cast, and it can't target a spell that can't be countered.
or
Yes, as it doesn't have protection from counters, it just can't be countered. The Undermine targets Combust, they lose 3 life, and combust resolves.
In my personal opinion, I think the fact that it can't be countered removes the ability for undermine to target it as it's not a legal target, but I can't give you a definite answer.
Undermine (and any counterspell) can target a spell that can't be countered. It's like targeting an indestructible artifact with Shatter - it's a legal target, it just won't do anything. And yes, the controller of the spell will lose 3 life even though the spell isn't countered.
Fluttershy is best pony.
what happens if I target a urza's rage with dissipate, and when urza's rage resolves its target is not legal so its countered, is it exiled or does it go to graveyard?
Always keep a card's Oracle text in mind. Dissipate says:
Counter target spell. If that spell is countered this way, exile it instead of putting it into its owner's graveyard.
Fluttershy is best pony.