You will at some point receive an Email from the vendor, this is where it may get a bit confusing.
I only have an account with 123-reg, if you could send some details of what is provided by other companies please do!
-----BEGIN CERTIFICATE-----
Vendor certificate text...
-----END CERTIFICATE-----
Your certificate text...
Save them in the folder you created for the key.
You now need to open both with Crypto Shell Extensions, double clicking them should open it.
Save one as *.{domainname}.{domain}.cer
And the other as rootca.cer
Install OpenSSL, you can get it from OpenSSL
Install this to its default location.
I ran into a problem with the default location, to change this run the following, thanks to Oneiroi. It will do no harm if you run this anyway!
You will then be prompted for some passwords, these are as follows;
You will now have a new .pfx file in the bin directory.