A quick search on net will give you openssl pkcs12 command to achieve this.

steps:

1. download openssl if you don’t have already.
2. inputs – private rsa key. If you have encoded text from the webhost, save it in a text file. I put it in a private.key
3. inputs – domain key – I received a .crt file for this.
4. inputs – I received 2 intermediate certificates and one root certificates – all .crt files
5. command line – openssl pkcs12 -export -out a.pfx -inkey private.key -in domainkey.crt -certfile f1.crt -certfile f2.crt -certfile root.crt
   1. updated 2023-04-20 command line – openssl pkcs12 -export -out a.pfx -inkey private.key -in domainkey.crt -certfile cacertfiles.ca-bundle
   2. recently re-issued cert from namecheap and received ca (intermediate/root) cert files in a file with .ca-bundle extension
6. this did the trick to get the .pfx file.
7. openssl asked for password to protect the pfx file