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").
Pub/priv key pairs should be imported into Windows using a PKCS12 (.p12/pfx) when you're using it as a client certificate. That's all there is to it here...

If you're importing it into IIS that's a bit different, but that doesn't seem to be what you're doing. Just in case - IIS requires a slightly different format than X.509 for its certificates; it requires a PKCS7 instead of generic X.509 because PKCS7 includes the signer certificates, whereas X.509 only has the individual certificate which has been signed. This differs from the typical Apache implemention where the signer certificates are included in a [trusted] cert bundle.