PKCS#7 does not include the private (key) part of a certificate/private-key pair, it is commonly used for certificate dissemination (e.g. as the response to a PKCS#10 certificate request, as a means to distribute S/MIME certs used to encrypt messages, or to validate signed messages etc). It is important to remember that it is only for certificates which are by definition public items.
PKCS#12 is a more universal container - it is intended to store both the private key and public certificate parts together so that they can be moved around. It has the capability of being password protected to provide some protection to the keys.
PFX was the predecessor of PKCS#12.
You cannot (as Anitak points out) convert from PKCS#7 to PKCS#12 without additional data (the private key part) because PKCS#7 doesn't have all of the data.
Mark Sutton has pointed out why you are unable to export as PFX - the certificate in question has its private key flagged as non-exportable. The Cryptographic Service Provider (CSP)will not allow that key to be moved, this is intentional. The only* way you can get an exportable cert\key pair is if the original Certificate was issued with the exportable flag set. It is also possible that there is no private key associated with the cert but I'm assuming that that is not the case here.
There is a good summary of the various PKCS types on Wikipedia.
- The only legitimate way at least. Depending on the CSP\Crypto Hardware there may be mechanisms, especially for software only CSP's, but that's an area for security vulnerability research only as far as I'm concerned, not systems admin.