Question: Say I have an X.509 cert and a private key that corresponds to it. I can import X.509 certs easily enough into Windows but what about private keys?

Is the only way I can do that by converting both the cert and the private key to a "Personal Information Exchange (PKCS #12)" file and importing that?

Maybe this question would be better on superuser.com? Either way, thanks!

Answer: 
In Windows, you *can* have private keys "by themselves". Programmatically, you use [`CryptAquireContext()`](http://msdn.microsoft.com/en-us/library/windows/desktop/aa379886%28v=vs.85%29.aspx) to access a key "by name". The CryptoAPI contains many functions which allow you to import and use keys, independently of certificates.

However, there is no existing graphical interface or file format for handling private keys, and applications do not use keys by name. They use *certificates*. Certificates, in Windows, are stored "elsewhere", but each certificate in the "My" store can optionally contain a link to a corresponding private key (the link would really be a CSP name, and name of a container within that CSP). This maps to what is expected in various protocols. For instance, in SSL, when the server requests a client authentication with a private key, it actually asks for a certificate: the client must present a certificate, and then, only then, demonstrate that it also has access to the corresponding private key.

Thus, in practice, certificates and keys "live together" and keys are reached only through certificates. A certificate and its private key travel together, and this means a PKCS#12 file (aka "PFX").
A PKCS12 (\*.p12, or \*.pfx) is absolutely the easy way. There are quite a few common tools out there for combining a key pair and certificate into a p12. My favorite is OpenSSL, since it works on every OS I've ever needed to use it on and it's reasonably standards compliant. [Here](https://www.google.com/#hl=en&tbo=d&sclient=psy-ab&q=creating+a+pkcs12+with+openssl&oq=creating+a+PKCS&gs_l=hp.3.2.0l3j0i30.1266.5892.0.8936.20.20.0.0.0.0.208.2028.13j6j1.20.0.les;eqn,rate_low=0-035,rate_high=0-035,min_length=2,cconf=1-2,second_pass=false,num_suggestions=1,ignore_bad_origquery=true,onetoken=false..0.0...1c.1.TwORQ-ztZbQ&pbx=1&bav=on.2,or.r_gc.r_pw.r_cp.r_qf.&bvm=bv.1355534169,d.dmQ&fp=a5dcfad2a6298f40&bpcl=40096503&biw=1229&bih=853)'s a diverse collection of pages on how, although mileage will vary based upon how your key pair and certificate are currently stored. 

Also - most devices with an export capability will offer a PKCS12 generation option if the settings allow key export - its more or less the standard for most PKI enabled applications, and the few cases where this is not the norm (Java for example), there is still usually a conversion or export capability.

One note - if you have a case where your key is on a hardware token or module, you can still reference it from the Microsoft Cert Store - you just need to import the certificate and instruct Microsoft on where the key is stored... to do this, you need to follow the device's instructions for updating the certificate store.