We have our private key file named private.key and server certificate received from your certificate authority named here ServerCertificate.cer

Step 1: for windows we need to generate the pfx file so with openSSL:
openssl pkcs12 -export -out certificate.pfx -inkey private.key -in ServerCertificate.cer

Step 2: open the new file and import the certificate (that contains both public&private parts)