Is there a step by step process to install a code signing certificate?

I received my user.crt file from Comodo. In ExeOutput, under Security -> Code Signing, there’s a drop down with three choices: PFX File, Certificate Subject Name, and Certificate Thumbprint. Which one do I use? I don’t have a PFX File.

Here’s what I did and the compiler result…

Opened user.crt.
clicked Install Certificate. Chose Place all certificates in the following store. I chose Personal. Import was successful.
Ran mmc from command line. Add/Remove Snap-in…, etc.
I see the cert under Personal -> Certificates.
Double clicked it. In Details tab, selected the Thumbprint hex code data. Removed the spaces.
In ExeOutput, chose Certificate Thumbprint, entered hex data. SHA-256. Saved, Compiled.

Signing the application .exe file…
SHA-256 signature used
GSignCode 2.1 – simple code signing utility
Copyright G.D.G. Software 2011-2016. All rights reserved.
Certificate Subject Name: CN=…(I blanked out this data for this post)
Issuer: CN=COMODO RSA Code Signing CA, O=COMODO CA Limited, L=Salford, S=Greater Manchester, C=GB
Serial Number: … (I blanked out this data for this post)
Signing C:… (I blanked out this data for this post)
SIGNING ERROR:
Signing Error - Code 0x80092006
Warning: code signing failed, an error occurred.

I’m using the latest ExeOuput release, using Windows 7.

FYI, Exporting to a PFX file was not an option (grayed out).

Update…

I originally downloaded my Code Signing Certificate using Chrome, which Comodo said was fine in their download page.

Spoke to Comodo. They said Chrome does not support Private Key generation, so you can not use it for collecting or applying code signing certificate. When I tried to download using IE 11, it failed (said already did a download). So they helped me replace my order, I downloaded using IE 11, followed these directions https://support.comodo.com/index.php?/Knowledgebase/Article/View/71/0/how-do-i-backup-my-digital-id-certificate-windows-ie , created my PFX file, and used it as input for ExeOutput signing. Compile was successful!!