The requirements are simple: You will need the .cer with the corresponding .key file and need to download OpenSSL.
If you are using Windows without the awesome Linux Subsystem, take the latest pre-compiled version for Windows from this site.
Otherwise with Bash on Windows you can just use OpenSSL via its “native” environment. Thanks for the hint @kapsiR
After the download run this command:
openssl pkcs12 -export -out domain.name.pfx -inkey domain.name.key -in domain.name.crt
This will create a domain.name.pfx. As far as I remember you will be asked to set a password for the generated private .pfx part.
If you are confused with .pfx, .cer, .crt take a look at this nice description blogpost.
Hope this helps!