I've not done this myself but a quick google search brings up this at the top of the list:
Worth a try?
Thanks for writing in. When you're creating a .pfx, you'll need a copy of the private key from your server, as well as the .crt file that you downloaded from GoDaddy. You can use OpenSSL commands in command line to create the PFX, I'm including a sample below:
openssl pkcs12 -export -out certificate.pfx -inkey privateKey.key -in certificate.crt -certfile more.crt
This will create a certificate.pfx file from your private key, as well as the .crt you downloaded. You'll just need to make sure that you update the names in the sample code above to match your certificate/private key information.
Hope this helps!
Tech Writer at GoDaddy