installing thawte ssl onto azure

Trying to install thawte ssl onto Azure. Followed the steps as listed here and found that the certificate shows "The issuer of this certificate could not be found"

I found this link that talks about the need for an intermediate certificate. How would this be applicable while deploying a web role onto Azure. Should the intermediate files be exported as pfx and uploaded to the certificate store. Do we need to specify this in the certificates section of the config file as well? Any suggestions would be greatly appreciated.

EDIT Trying to export the intermediate pem file results in a .cer file. Is there a way to convert this to pfx?

Install the cert on your local machine using the MMC certificates snap-in. Then export the cert, with the private key. In the 2nd step of the dialog, select the 1st option "Include all certs...". Then delete your cert using the Azure Portal and upload the one you just exported.