create private key and CSR, then merge into .pfx file

[Blake]

What I am trying to do it trivial using openssl at a command line.

I want to create an .exe that will generate a private/public key pair and a
certificate signing request.

I then send the CSR to the CA of my choice.

I then want my .exe to merge the private key and the signed cert into a
single .pfx file, which I can then store in my local cert store.

Any ideas/suggestions/URLs/hints would be much appreciated.

Blake