You will need to use openssl.
openssl pkcs12 -export -out domain.name.pfx -inkey domain.name.key -in domain.name.crt
The key file is just a text file with your private key in it.
If you have a root CA and intermediate certs, then include them as well using multiple -in params
openssl pkcs12 -export -out domain.name.pfx -inkey domain.name.key -in domain.name.crt -in intermediate.crt -in rootca.crt
You can install openssl from here: openssl
If you’re looking for a Windows GUI, check out DigiCert. I just used this and it was fairly simple.
Under the SSL tab, I first Imported the Certificate. Then once I selected the Certificate I was able to export as a PFX, both with and without a keyfile.
https://www.digicert.com/util