Another perspective for doing it on Linux... here is how to do it so that the resulting single file contains the decrypted private key so that something like HAProxy can use it without prompting you for passphrase.
openssl pkcs12 -in file.pfx -out file.pem -nodes
Then you can configure HAProxy to use the file.pem file.
This is an EDIT from previous version where I had these multiple steps until I realized the -nodes option just simply bypasses the private key encryption. But I'm leaving it here as it may just help with teaching.
openssl pkcs12 -in file.pfx -out file.nokey.pem -nokeys
openssl pkcs12 -in file.pfx -out file.withkey.pem
openssl rsa -in file.withkey.pem -out file.key
cat file.nokey.pem file.key > file.combo.pem
Then you can configure HAProxy to use the file.combo.pem file.
The reason why you need 2 separate steps where you indicate a file with the key and another without the key, is because if you have a file which has both the encrypted and decrypted key, something like HAProxy still prompts you to type in the passphrase when it uses it.