Today I installed a wildcard certificate on a Windows machine where I created the private key on a Linux machine. I downloaded the certificate file from GoDaddy and had the file in .crt format.
To install it on a Windows web server I had to import it into IIS as a .pfx file. To do this you can use OpenSSL.The following command will produce a .pfx that can easily be imported into IIS.
openssl pkcs12 -export -out certname.pfx -inkey privatekey.key -in certname.crt
You will be prompted to enter a passphrase during export and import (Within Windows IIS).