To check if your .key file has everything you need:
#check if file contains a valid certificate:
openssl x509 -text -in file.key
It should print out certificate details. If it prints an error including the text “unable to load certificate”, then your file is not sufficient.
#check if file contains a valid key:
openssl rsa -text -in file.key
openssl dsa -text -in file.key
One of the above commands should print out valid key details. The other will give an error with the text “expecting an rsa key” or “expecting a dsa key”.
If the error text says “bad decrypt”, you have provided an invalid passphrase, or the file is damaged.
If the error text says “Expecting: ANY PRIVATE KEY”, then your file is not sufficient.
If you got a key, and one certificate which matches the key (and optionally some other certificates), then you have enough to convert the file to a pfx. Then, as ISW said, it’s just a matter of
#convert file containing key and certificate(s) to PKCS#12 pfx file.
openssl pkcs12 -export -out file.pfx -in file.key
and you’re done.