Certificate issue: KEY or PFX from P7B and CRT

I'm new to the certificates, and this is a first time I bought it.

I generated CSR file (in IIS) and bought certificate using GoDaddy web site. They sent me two files: P7B and CRT. Since I will use the certificate for Azure Web role, I need PFX. How can I create it using only CSR, P7B, and CRT?

Does P7B file contain private key?

A P7B file only contains certificates and chain certificates (Intermediate CAs), not the private key. The most common platforms that support P7B files are Microsoft Windows and Java Tomcat.

What is a P7B certificate?

Security file that stores secure certificates used to authenticate a person or device, such as a computer or Web server; similar to a Base-64 (.

Finally I managed to do that. In IIS I selected Complete Certificate Request, installed the CRT certificate, and then used Export option to save it as PFX.