The PKCS12 format is replacing the old PFX format from Microsoft. This format will allow storage of X.509 private keys and the associated public certificates in a single encrypted file.
So you can extract the key and the certificate in a single common PEM file, you can use this openssl command:
openssl pkcs12 -in myCertificate.pfx -out myCertificateAndMyKey.pem
If you want to extract the key and the certificate independently, you can also use the options nocerts/nokeys along with openssl, to extract only one part:
openssl pkcs12 -in myCertificate.pfx -nocerts -out myCertificate.key openssl pkcs12 -in myCertificate.pfx -nokeys -out myCertificate.pem