CertSimple will be shutting down on January 30 2020. Read the announcement here.
CertSimple's ordering process uses the PEM file format that's used by most popular web servers, but you can easily convert your keys into PKCS12 (also known as P12 or PFX) format used by IIS, Windows and Azure.
While PEM has seperate files for the private key, certificate, and intermediary, when using PFX they're all included in a single file.
To combine all the files into a single .pfx file for Windows, get OpenSSL for Windows and in the command prompt, run:
openssl pkcs12 -inkey private.key -in certificate.pem -certfile digicert-intermediate.pem -export -out example.pfx
This will create a single .pfx file containing everything you need for Windows or Azure.