You can use the following command to genereate a PFX certificate file from it's components:
openssl pkcs12 -export -out server.pfx -inkey server.key -in server.cer -certfile comodo.pem -name "alias"
"server.pfx " is the output file name
"server.key" is your private key file
"server.cer" is your certificate file
"comodo.pem" is your certificate CA chain file
"alias" is the alias name for the certificate (you choose this yourself)