The final command will be openssl pkcs12 -export
Create the certificate request with openssl
Now with MS CA generate the Certificate 64 bit.
Create a chain certificate with the privatekey and public cert
cat example.local.crt example.local.key > example.local.chain.crt
Then just run the openssl pkcs12 cmd:
openssl pkcs12 -export -in example.local.chain.crt -out example.local.p12