How to convert .pem to .pfx

[Ardito]

Hi, I bought an ssl certificate, I received a .pem file of my third level domain, inside this file I have 3 BEGIN / END blocks.
I am following the official SFS2X guide: http://docs2x.smartfoxserver.com/GettingStarted/cryptography
I am using OpenSSL version 3.0.1 (Windows)

I have to use this command:

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openssl pkcs12 -export -out my-cert.pfx -inkey www.mydomain.com.key -in www.mydomain.com.crt -certfile bundle.crt

I got the .crt file by using this command:

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openssl x509 -outform der -in my-cert.pem -out certfileOutName.crt

But I haven't received any .key file, maybe this file is inside the .pem file?
I've tried a lot of commands to extract the .key private key, but none seem to work.
Can I do all this procedure on any pc and then upload the files to the server, or do I have to do everything on the target machine?

[Ardito]

UPDATES:
I made the request for the private key to the site where I bought the certificate, and they sent it to me in .TXT UTF-8.
I opened it and saved it in .KEY format.

I try to use the code:

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openssl pkcs12 -export -out my-cert.pfx -inkey www.mydomain.com.key -in www.miodominio.com.crt -certfile bundle.crt

But I get these errors:

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34420000:error:16000069:STORE routines:ossl_store_get0_loader_int:unregistered scheme:crypto\store\store_register.c:237:scheme=file
34420000:error:80000002:system library:file_open:No such file or directory:providers\implementations\storemgmt\file_store.c:269:calling stat(D:\PATH\XXX.MyDomain_FAKE.it.key)
34420000:error:16000069:STORE routines:ossl_store_get0_loader_int:unregistered scheme:crypto\store\store_register.c:237:scheme=D
34420000:error:1608010C:STORE routines:inner_loader_fetch:unsupported:crypto\store\store_meth.c:357:No store loader found. For standard store loaders you need at least one of the default or base providers available. Did you forget to load them? Info: Global default library context, Scheme (D : 0), Properties (<null>)

[Ardito]

I solved it by contacting the support of whoever sold me the certificate