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How to convert SSL Certificate from crt to pfx format?

This is to install a 3rd-party SSL certificate from comodo, into my MS windows 2012 R2 server. The whole process starts by going to the server's IIS manager, and generate the CSR file. After that, I received 4 cert in crt format from comoco as follows:

addtrustexternalcaroot.crt
comodorsaaddtrustca.crt
comodorsadomainvalidationsecureserverca.crt
STAR_mydomainname.crt

I managed to complete the cert request by importing the "star_mydomainname.crt". This cert was "bind" with https, and I can start to use the https://*.mydomainname/ without problem.

However, this server is my MS RDS (Remote Desktop service or TS) server. All 5 RDS components - host connection broker, web access, and so on, are installed in this server. I went to the RDS deployment properties, and found that this comodo cert need to the install on here. (please refer to attached screen shot). However, when I try to browse for the cert, I was told that only cert in *.pfx format is needed. I don't have the pfx cert, only 4 crt cert. Am I able to convert?

Some articles I read suggest using certutil or openssl, can manage to crt (with private key) to pfx. But, no private key is given. Some said that on Windows server, run mmc, and add-in the certificate manager, do the import of crt into "personal" or "trusted"; later that, try to export the same cert out as pfx, but, I tried and the pfx is greyed-out, may be can't find the private key.

What to do to solve this problem?

thanks
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By following the given suggestion, I managed to convert the cert to pfx format.