- In Windows Explorer select "Install Certificate" in context menu.
- Follow the wizard and accept default options "Local User" and "Automatically".
- 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.