certificate files

I have a certificate file ( .cer)   I want to create and install a pfx file from this.  

When I use the "Certificate Export wizard" the option for PFX is greyed out.
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Kevin RobinsonPrivate VB.NET ContractorAsked:
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PowerITCommented:
PFX files are used to export certificates WITH personal keys. Cer WITHOUT personal keys.
So, when you import a Cer, you don't have a personal key and so you can not create a PFX.

J.
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Kevin RobinsonPrivate VB.NET ContractorAuthor Commented:
I create the keys from SQL server 2005.  I create the certificate and a Private Key.  

Then export these as two different files.  Bacially I want to install this Private Key on my machine.
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