or
how to convert PEM certificate file to PKCS12 :

$ openssl pkcs12 -export -out CertificateNAme.pfx -inkey PrivateKey.key -in CertificatePem.crt -certfile CACert.crt

I have not CACert.crt (but it is public...by the way) so I have not used -certfile
Then imported into Citrix Access Gateway CAG VPX and it works. Enjoy!

Rif also to http://www.sslshopper.com/article-most-common-openssl-commands.html