Justin(above) is accurate. However, keep in mind that depending on who you get the certificate from (intermediate CA, root CA involved or not) or how the pfx is created/exported, sometimes they could be missing the certificate chain. After Import, You would have a certificate of PrivateKeyEntry type, but with a chain of length of 1.
To fix this, there are several options. The easier option in my mind is to import and export the pfx file in IE(choosing the option of Including all the certificates in the chain). The import and export process of certificates in IE should be very easy and well documented elsewhere.
Once exported, import the keystore as Justin pointed above. Now, you would have a keystore with certificate of type PrivateKeyEntry and with a certificate chain length of more than 1.
Certain .Net based Web service clients error out(unable to establish trust relationship), if you don't do the above.