Start by following the instructions at http://www.doegrids.org/pages/cert-request.html, part of which is included below.
After exporting the certificate from your browser, use these commands to get the public and private keys.
openssl pkcs12 -in YourCert.p12 -clcerts -nokeys -out $HOME/.globus/usercert.pem |
openssl pkcs12 -in YourCert.p12 -nocerts -out $HOME/.globus/userkey.pem |
chmod go-rw $HOME/.globus/userkey.pem |