Exporting the SSL certificate with the private Key on windows

You will not have the option of exporting from IIS or exporting to PFX from Certificate Manager if you do not do the IIS "Create Certificate Request" and "Complete Certificate Request" from the same machine.

That was my problem. I did these two steps from two different machines.

I had to create a new request (in IIS), go to GoDaddy, rekey my certificate, download the new certificate, and then complete the request (in IIS).

This turned out to be something completely idiotic, as usual messed up by Microsoft.The process of creating a cert for a domain is that you need to use [Create Certificate Request] in IIS. Then send the created hash to the Authority and use the [Complete Certificate Request] in IIS where you provide the cert given to you by the Authority. This will install the cert into your local IIS

After the cert is installed you need to right click on it and do an export to a *.PFX file. The PFX file now can be uploaded to Azure or any other hosting...

The processes could have been very simple, if Microsoft didn't make sure to screw it up.

The thing is that when you click on [Complete Certificate Request], the file open dialog has a file type of *.CER, but this is wrong because you need to provide *.CRT!!! The solution is to change the file type select to All Files *.* and chose the *.CRT file provided by the Authority.