A .pfx (or .p12) file is an archive container format which can contain many cryptographic objects (like private keys and certificates) in a single file.
To import the information in a .pfx or .p12 file, the first thing you have to do is to extract both in PEM format, which is the format the ProxySG requires. To do this, use OpenSSL which is installed an almost all Linux distributions by default. There are also pre-compiled Windows binaries available, in case you do not have access to a Linux machine (or do not want to use one). The commands are identical on both Linux and Windows:
openssl pkcs12 -in inputfile.pfx -out outputfile.pem -nodes
You will be prompted for the password that was used to encrypt inputfile.pfx (in order to protect the private key).
When you open outputfile.pem to a text editor, you will see: