CertMgr uses PEM internally for all operations. The PEM format is the most important format.
But you might get your files from your admin or a CA in different formats.
CertStore can import and export PEM and PKCS12 (PFX, p12).
But this might not always work in the way you expect it because of legacy encryption.
I just wrote a new howto document providing some background and providing OpenSSL command line options.
This is a companion discussion topic for the original entry at https://blog.nashcom.de/nashcomblog.nsf/dx/howto-convert-cert-formats-from-and-to-pem.htm