Both PKCS#12 and .PFX also contain a Private Key, which is typically only known by the client (not the CA!). - Therefore the CA cannot deliver a .PFX/PKCS#12 file, but usually delivers X.509 .CRT files - possibly PKCS#7 (.P7B) for Windows/IIS servers.
In order to successfully convert a .p7b into .p12 or .pfx, you will require your private key and can use one of the following methods:
a) InterSSL PFX Converter
https://www.interssl.com/de/ssl-tools-pfxconverter.php
b) OPENSSL: (Windows, Linux, OSX)
openssl pkcs7 -print_certs -in certificate.p7b -out certificate.cer
openssl pkcs12 -export -in certificate.cer -inkey privateKey.key -out certificate.pfx -certfile CACert.cer
c) Alternatively: Microsoft offers a converter tool for Windows via MSDN:
https://msdn.microsoft.com/windows/hardware/drivers/devtest/pvk2pfx
pvk2pfx -pvk mypvkfile.pvk -pi mypassword -spc myspcfile.spc -pfx mypfxfile.pfx -f
same command but alternate file naming conventions:
pvk2pfx -pvk mypvkfile.key -pi mypassword -spc myspcfile.crt -pfx mypfxfile.pfx -f
