See http://www.drh-consultancy.demon.co.uk/pkcs12faq.html and http://www.openssl.org/docs/apps/pkcs12.html for more information.
This, http://www.ripe.net/ripencc/pub-services/db/mail_client_tests.html, may also be of interest.
If you have a certificate from a certificate authority, you can skip the first two steps.
