If you enable code signing for Windows media files, you either have to specify .pvk and .spc files or a single .p12 (PKCS #12) file.
If you enable code signing for Mac OS X, you have to specify a single .p12 (PKCS #12) file. You can export the private key with Apple's keychain tool as PKCS #12 file. This will include your developer certificate. install4j will add the required certificate chain automatically.