I guess the title say it all.
Here's what I did :
I used IIS 7 to create a certificate request, it gave me a txt file.
I copy / paste the text in my registrar SSL service provider for a particular domain
After two email confirm, my SSL request is accepted by my registrar (GANDI.net)
I get a download for - a *.crt file and a *.pem file
I can install the certificates but just can't import these directly from IIS
After installing it shows on crtmgr.exe but I CAN'T EXPORT TO *.pfx file (grayed)
Windows Azure need a PFX file