|:: download OpenSSL if you don't have it for the below|
|:: Conver the p7b into PEM format|
|openssl pkcs7 -in mydomain.p7b -print_certs -out mydomain.pem|
|:: Combine this with the crt server certificate and private key into a PFX|
|openssl pkcs12 -export -in mydomain.crt -inkey mydomain.key -certfile mydomain.pem -out mydomain.pfx|
The .key file should be obtainable from the certificate request which you have created for Godaddy.
For that, you will need a Windows Server with IIS installed on it, go to Server Management, select "Internet Information Services" from Tools, and create a certificate request. Then, in Microsoft Management Console you will be able to see this request among the certificates, in the "Certificate Enrolment Requests" group. (How to generate certificate request and export private key)
When you're done with all of this, you will have a certificate request which you can provide to Godaddy to generate your certificate and a private key file which will match this certificate. The key will likely be in .pfx format, and you'll need to convert it into .pem or .key.