After generating a CSR, I've now been given 3 SSL files from GoDaddy, of which I need to convert to a PFX file ... having issues though.

So i've been given a PEM File, Security Certificate, and a PKCS#7 file .... im now trying to get a PFX file out of these 3 ... but am running into problems. Can anyone walk me through the proper steps to do this? I've been trying openssl but have had no luck.