You might have a certificate and a private key for this.
These might not be in pfx format and these might be separate files, and unfortunately they are not imported to your system yet.
To join these files into an importable PFX file for Windows, you could use OPENSSL.
Export your cer from MMC “Certificates” add-in in 509 format.
openssl pkcs12 -export -in “C:\temp\exp.cer” -inkey “C:\temp\certkey.key” -out “c:\temp\newcert.pfx”
The PFX file now contains both the certificate and the private key, so problem solved.
Remember to keep your private key safe, and stored in a safe place.
If you later on export the priv key together with the cert, secure it with an adequate password.