The PFX component, when used with the correct option settings
can import a certificate with private key so you don't get the popup
warning. You can also import using the Certificates MMC or by
double-clicking on a .pfx file. The PFX component simply provides
a programmatic way of doing it. However, in both cases (manual
or programmatically) I think you only have one chance to import
it with the correct options. The Windows PKI infrastructure does not
seem to be forgiving when it comes to this. My experience has been
that if you delete the certificate *and* delete the private key, and then
try to re-import, you get a "Keyset does not exist" error from that point on.
You would then need to re-issue the certificate and re-import.