Since I've to import them into a Windows system. Must this be merged, since a private key can not be imported separately.
You can join both files on a Linux system, and import this file on a Windows system.
The command to perform this, is as follow:
openssl pkcs12 -export -out cert+key.p12 -in star.somewhere.eu-cert.pem -inkey star.somewhere.eu-key.pem
Depending on the PEM file with certificate, you must enter a pass phrase or not.
Then you must choose your export password. This is the one you need when importing again in Windows.