HowTo: Import a PEM certificate and PEM private key into the Windows key store
Create a PKCS12 file containing the certificate and its private key:
$ openssl pkcs12 -export -in MyCertficate.crt -inkey MyPrivateKey.pem -out CertificateForImportInWindows.p12
The .p12 generated file is protected by a password and can then be transported without any risk.
On a Windows, open this .p12 file and follow the instructions provided.