Usually the code signing certificate will be applied and collected through your browser only, it may be IE or Firefox.But it is not like SSL in which you will send the CSR and get your certificate issued based on that.
When you signup for the code signing certificate the private key is generate and stored in your browser, after your order is issued you can collect your certificate.
Once you have successfully collected your certificate then you can export your certificate with private key to a pfx(pkcs12) format.
please follow the below procedure to export your certificate from Firefox.
Firefox-->Tools-->Option-->Advanced-->Encryption-->View certificates-->Select your certificate-->Select "Backup"-->Save the file.
Please follow the below link to extract your spc and pvk files from pfx file.https://support.comodo.com/index.php?_m=knowledgebase&_a=viewarticle&kbarticleid=1089&nav=0,7
Let me know if you have any further queries.