You should have received a *.pfx file from your CA. If you only have the certificate in you certificate store, you can export it with certmgr.msc. Check "export privat key". Now you can convert this PKCS#12 file to a PEM-file with:
openssl pkcs12 -in yourfile.pfx -out yournewfile.pem -nodes
Then you have a PEM-File including 2 sections:
-----BEGIN RSA PRIVATE KEY-----
-----END RSA PRIVATE KEY-----
Split this file with an editor into 2 separated files, named yournewfile.key and yournewfile.cer. Remove all extra text from these files outside the lines with the dashes.
Now you can use the files with HMS