Convert a CERT/PEM certificate to a PFX certificate

1. In Windows Explorer select "Install Certificate" in context menu.

2. Follow the wizard and accept default options "Local User" and "Automatically".
3. On Windows 10 run the "Manage User Certificates" MMC. On Server the MMC is called "Certificates". On Windows 10 by default your certificate should be under "Personal"->"Certificates" node.

Select "Yes, export the private key":

You will see that .PFX option is enabled in this case:

Specify password for private key. Which you required while installing this certificate.