After researching a little, I found a microsoft utility named Pvk2Pfx.exe to overcome this issue.
This utility takes two files and merges them into one .PFX File which is what Certification Management Tool uses to import Certificates with private keys.
Here is the documentation to use it: http://msdn.microsoft.com/en-us/library/windows/hardware/ff550672(v=vs.85).aspx
And I will add the full command used to generate de .pfx File
pvk2pfx -pvk TestCert.pvk -pi TestCertPassword -spc TestCert.cert -pfx TestCert.pfx -po TestCertPassword -f