In addition to the standard X509 *.cer certificates there are also certificate files ending with *.PFX or *.P12.
The later ones are X509 certs as well, but may in addition contain a private key, too. Password protected, of course.
The container format used here is called PKCS#12. More info on this is available e.g. in Wikipedia.
The reason, that there are two file extensions is historical. PFX was a Microsoft extension, while P12 was the Netscape one.
In the meantime both formats have been adapted to be identical, meaning that developers are able to use the .NET System.Security.Cryptography.X509Certificates namespace to work with both of them.