How to Create a PFX Certificate File from a PEM File

Some certificate authorities (such as Let's Encrypt) only supply certificate in the form of a PEM file, which is not usable by many Windows services.

In the case of Let's Encrypt, the PEM file may not have been generated as a part of a certificate signing request.

How to Convert PEM to PFX

Install the latest stable Open SSL. The main page is here or you can find good Windows binaries here.
Copy the PEM file to the OpenSSL binary folder, such as C:\Program Files\OpenSSL-Win64\bin
Open an administrative command prompt or Powershell window to that folder
Type in:

.\openssl pkcs12 -export -out result.pfx -inkey mypemfile.pem -in mypemfile.pem

You will be prompted for a PFX password as part of the process. You must securely store the password with the PFX file to be able to use it.
Above, the -inkey command is used to input the private key. If you have a separate certificate signing request (CSR) this would likely not be in the .PEM file, but would be in a separate .CRT file:

.\openssl pkcs12 -export -out result.pfx -inkey mycsrkeyfile.crt -in mypemfile.cer

Also see here.

Windows Server services that require a PFX certificate that includes the private key