I wasn't able to install FILENAME.pfx under Ubuntu on Chrome or Firefox altough I had no problems installing the very same file on IE under Windows. What I did to solve the issue:
openssl pkcs12 -in FILENAME.pfx -clcerts -nokeys -out FILENAMEcert.pem
openssl pkcs12 -in FILENAME.pfx -nocerts -out FILENAMEkey.pem
openssl pkcs12 -export -in FILENAMEcert.pem -inkey FILENAMEkey.pem -out FILENAME.p12
Then install FILENAME.p12 on Chrome or Firefox under Ubuntu should work like a charm :)