Here is how to do this on Windows without third-party tools:
Import certificate to the certificate store. In Windows Explorer select "Install Certificate" in context menu.
Follow the wizard and accept default options "Local User" and "Automatically".Find your certificate in certificate store. On Windows 10 run the "Manage User Certificates" MMC. On Windows 2013 the MMC is called "Certificates". On Windows 10 by default your certificate should be under "Personal"->"Certificates" node.
Export Certificate. In context menu select "Export..." menu:
Select "Yes, export the private key":
You will see that .PFX option is enabled in this case:
Specify password for private key.
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