A PFX (Personal Information Exchange) file is packed in a standard file format called PKCS#12, and used by both Microsoft ISA and IIS products.
PKCS#12 format contains the certificate, private key, and all the CA’s in a certificate chain. Here is how you generate it from the openssl command line:
1) Generate private key
openssl genrsa -out emeaextranet.lendlease.com.key 1024
2) Generate CSR
openssl req -new -key emeaextranet.lendlease.com.key -out emeaextranet.lendlease.com.csr
3) Get the certificate signed by CSA
4) Save the resulting signed certificate into a file.
4) Concatenate the private key and certificate into a new file.
cat emeaextranet.lendlease.com.key emeaextranet.lendlease.com.crt > emeaextranet.lendlease.com.jeff
5) Export the concatenated file in PFX format.
openssl pkcs12 -export -in emeaextranet.lendlease.com.jeff -out emeaextranet.lendlease.com.pfx